精选国际期货市场运作2BeginningwiththeBasics资料课件.ppt

1、Chapter 2Chapter 2Beginning with the BasicsBeginning with the BasicsnSuppose that you and I lived in rural area.I raise beef cattle.You raise corn 15 miles down the road.Why do we need the futures market?nEach fall,when your corn comes in,you truck the entire crop to me,and I buy it to feed to my st

2、eers.nTo make things fair,we agree that I will pay you the cash price for corn on an exchange on the day I take delivery.nCorn is important to both of us.It is your principal crop;it is my main cost in feeding cattle.nLets set our corn price now for next falln Lets pick a price that allows each of u

3、s a reasonable profit and agree on it.Definition of a futures contractnA futures contract is an agreement between a seller and a buyer.The agreement calls for a seller to deliver a specified quantity of a particular grade of a certain commodity or its cash equivalent to a predetermined location on a

4、 certain date.What is Risk Transfer and Why transfer it?nAsk any farmer about the risks involved in growing a crop of corn.What is Risk Transfer and Why transfer it?nIf the weather during the growing season is too dry or too wet or too windy,the farmer may have a poor crop,but so will other farmers.

5、Who Benefits from the Transfer of Risk?nThe transfer of risk using a futures contract can benefit the buyers,or the seller,or both.Who Benefits from the Transfer of Risk?nThe trader who took the other side of the corn transaction is unhappy to be losing$1 on the trade.nThe risk in this case has been

6、 transferred from the producer(seller)to the buyer.Who Benefits from the Transfer of Risk?nOn a broader scales,the consumer or end user benefits as wellMarket ParticipantsnFour broad categories of market participants in futures trading:nProducernEnd UsernSpeculatornFloor Trader or Pit BrokerProducer

7、nThese goods can be anything from grain to livestock to Swiss francs to silver.The producer may be a seller of goods as well as a buyer.End UsernThis group often consists of manufacturers or large users of raw products.SpeculatornThe speculator can be either a buyer or a seller,depending on his or h

8、er analysis of and orientation to the markets.The speculator is often willing to take a position contrary to the current market trend in the hope of making a profit.Price RisknPrice risk occurs as a result of time intervention in a transaction.Price RisknIntense competitionnSeasonal harvest and seas

9、onal demand.Price RisknIn short,Time and unpredictable circumstancesThe Early History of the Futures Contract in Europe and JapannIn medieval Europe,fair letters were the crude forerunners of the modern futures contract.nThe first recorded example of actual futures trading occurred in Japan in 1697.

10、The History of the Futures Contract in ChinanZhengzhou Commodity Exchange(ZCE),the first futures market in China,was established on October 12th,1990.ZCE started futures trading on May 28th,1993 with 5 commodities listed.nDalian Commodity Exchange(DCE)DCE was founded on February 28,1993,and began fu

11、tures trading on November 18 in the same year.Shanghai Futures ExchangeCHAIRMAN OF CHINA SECURITIES REGULATORY COMMISSIONlMr.Shang Fulin was born in November 1951 into a family of Han ethnic origin.China Securities Regulatory Commission nHistorical Background China Securities Regulatory CommissionnT

12、he establishment of the State Council Securities Commission(the SCSC)and the China Securities Regulatory Commission(the CSRC)in October 1992 marked the formation of this regulatory body.China Securities Regulatory CommissionnThe scope of the authority of the SCSC and the CSRC gradually expanded with

13、 the growth of the securities markets.Regulation of the Futures Industry in USA In 1974,Congress passed the Commodity Futures Trading Commission Act.National Futures Association(NFA)nThe National Futures Association(NFA)is a self-regulatory organization established in 1982.National Futures Associati

14、on(NFA)nTo assure“high standards of professional conduct and financial responsibility”on the part of its members.Who Is Required to Register with the CFTC?nFutures Commission Merchant(FCM)nIntroducing Broker(IB)nCommodity Pool Operator(CPO)nCommodity Trading Advisor(CTA)nAssociated person(AP)nAn AP

15、is an individual who solicits orders,customers,or customer funds on behalf of an FCM,IB,CTA,or CPO.Protection for the Individual Investor Potential abuses in the futures industry fall into three broad categories:unfair trading practices,credit and financial risks,and sales practices abuses.Unfair tr

16、ading practices include price manipulation,prearranged trading,and trading ahead of a customer.Trading The Futures Contract 1nIf I choose to enter a contract as a buyer or a seller,what happens if the contract expires and I have to make good?nWhere will I find all those pork bellies to deliver?n Wha

17、t if Im a buyer?n Will my freezer hold 40,000 pounds of frozen bacon?Trading The Futures Contract 2nYou have nothing to worry about.nFewer than 5 percent of all futures transactions result in delivery.nThe vast majority of contracts are offset or liquidated prior to delivery.nYou can liquidate your

18、position prior to the delivery date of the contract.Trading The Futures Contract 3 A commodity futures trader enters into a futures contract by agreeing to sell a commodity or buy a commodity according to the precise contract specifications established by the exchange.Trading The Futures Contract 4n

19、The position I have established is a“short”position.nNow that I have a short position in corn,I have two alternatives.Defining MarginnIn the futures market,both parties to the transaction put up earnest money,which is called margin.nMargin usually amounts to approximately 1 percent to 5 percent of t

20、he contract value,depending upon requirements of the futures exchange.This is called initial margin.Who Sets Margin Requirements and Why 1nMargin requirements are determined by and set by the various futures exchanges.Who Sets Margin Requirements and Why 2nIf margins are raised suddenly and by a sub

21、stantial amount,this is often an indication that the given futures exchange is concerned about the high price level of a market or about its volatility.Margin and Broker ProtectionnThe purpose of margin is to protect the broker and the brokerage house as well as the customer.Margin and Broker Protec

22、tionnSince the broker is liable in the event that a customer cannot meet a margin call,the house must set margins high enough to minimize the risk of the broker being liable for losses.WHAT IS A HEDGE?nHedging occurs when a producer or end user takes a position in the futures market that is the oppo

23、site of his position in cash market.电解铜车间铜材加工过程 电解铜电解铜铜铜杆杆铜线铜线Making an Example for a HedgenExample:Your are a copper company,you will produce 100-ton copper three month later,so you will sell them after 3 months.Now you want to do a hedge for a protection of the 100-ton copper.nIn the futures marke

24、t,you can sell 100 tons at 17,500 yuan pre ton in December.When the time reach December,if price decrease 100 yuan pre ton,in futures market you will get 10,000 yun(100tons100yuan)totally.Making an Example for a HedgenSo the factual result is you lock in the price of your copper at 17,500 yuan pre t

25、on in December.You can gain 1,750,000 in December.You do not lose money though the price goes down.How Hedging Transfers Risk 1nWhen a hedge is placed,risk is transferred from the hedger to the individual who has taken the other side of the contract.nCash Market Futures Marketn-nWheat price$3.85 Fal

26、l Sell wheat futures at$3.90nSell wheat at 3.44 Next May Buy wheat futures 3.49nLoss$.41/bushel Gain$.41n n Net gain or loss=0Short Hedge in Wheat Futures($/bushel)nShort hedgers comprise those who grow,store,process,or distribute a cash commodity.nA China oil importer with a tanker of crude on the

27、high seas would use a short hedge to protect his cargo from a price decline.nA big mill would use a short hedge for the wheat stored in its warehouses.The common denominator is risk of loss due to a decline in the cash price.Short Hedge in Wheat Futures($/bushel)n nCash Market Futures Marketn-nCash

28、corn price$2.85 Now Buy corn futures at$2.96nBuy cash corn at 3.10 3 Months later Sell corn futures 3.21nOpportunity loss$.25/bushel Gain$.25/busheln n Net gain or loss=0Long Hedge in Corn FuturesAdvantages and Disadvantages of HedgingnThe main advantage is that of locking in a price whether you are

29、 a buyer or a seller.nThe disadvantage is that when you lock in costs or profits,you may be doing so too soon and thereby limiting your profit potential.Essential Elements for profitable Tradingn1.An Effective Trading System or Methodn2.Risk Management:n3.Discipline:This includes all aspects of trad

30、er psychology:self-control,persistence,positive attitude,and so on.An Effective Trading System or Methoda trading system or methodology that has a demonstrated history of success through all types of markets and that contains definitive,objective operational rules.n2.Risk ManagementOrdinarily this t

31、ask is part of the trading system;however,traders often override their trading systems,so they need a fail-safe procedure.This includes all aspects of trader psychology:self-control,persistence,positive attitude,and so on.DisciplineKey TermsnLiquidate a position 清仓 nOffsets to a position 对冲头寸 nOutcr

32、y n.喊价 nEarnest money 保证金 nParty n.（交易）一方 nInitial margin最初保证金nMaintenance margin 维持保证金 nLeverage 杆杠作用（交易方式上）nMargin n.保证金 Key TermsnPost vt.登入（总帐）nMargin call n.追加保证金通知 nDiscretion n.自行裁决,任意决定权 nTo take a position 持仓 n Cash market 现货市场 nContract expiration 合同到期 nTo close out 清掉Questions for Discussionn1.What is risk transfer and why transfer it?n2.Explain the function of Margin.n3.What is a hedge?Use an example to explain it.n4.What is a long hedging?n5.What is a short hedging?