Thị trường tài chính và các định chế tài chính_ Chapter 13

1 Chapter 13 Financial Futures Markets Financial Markets and Institutions, 7e, Jeff Madura Copyright ©2006 by South-Western, a division of Thomson Learning. All rights reserved. 2 Chapter Outline  Background on financial futures  Interpreting financial futures tables  Valuation of financial futures  Explaining price movements of bond futures contracts  Speculating with interest rate futures  Closing out the futures position 3 Chapter Outline (cont’d)  Hedging with interest rate futures  Bond index futures  Stock index futures  Single stock futures  Risk of trading futures contracts  Regulation in the futures markets  Institutional use of futures markets  Globalization of futures markets 4 Background on Financial Futures  A financial futures contract is a standardized agreement to deliver or receive a specified amount of a specified financial instrument at a specified price and date  The buyer of a futures buys the instrument while the seller delivers the instrument  Futures are traded on organized exchanges  The exchanges clear, settle, and guarantee all transactions that occur on the exchange  Futures are regulated by the Commodity Futures Trading Commissions (CFTC)  Approves futures contracts and imposes regulations 5 Background on Financial Futures (cont’d)  Interest rate futures are on debt securities such as T-bills, T-notes, T-bonds, and Eurodollar CDs  Stock index futures are on stock indexes  Settlement dates are in March, June, September, and December  Most financial futures are traded on the Chicago Board of Trade or the Chicago Mercantile Exchange 6 Background on Financial Futures (cont’d)  Purpose of trading financial futures  Traded either to speculate on prices of securities or to hedge existing exposure to security price movements  Speculators take positions to profit from expected changes in the price of futures contracts over time  Day traders attempt to capitalize on price movements during a single day  Position traders maintain their futures positions for longer periods of time  Hedgers take positions to reduce their exposure to future movements in interest rates or stock prices 7 Background on Financial Futures (cont’d)  Electronic trading  The Chicago Mercantile Exchange established GLOBEX that compliments its floor trading  Allows for around the clock and weekend trading  The Chicago Board Options Exchange implemented a fully electronic futures exchange in 2004 8 Background on Financial Futures (cont’d)  Steps involved in trading futures  Members of a futures exchange are either:  Commission brokers, who execute orders for their customers and are often employed by brokerage firms  Floor traders (locals), who trade futures contracts for their own account  Many types of futures contracts now trade over the counter  Are more personalized and can be tailored to the specific preferences of the parties involved 9 Background on Financial Futures (cont’d)  Steps involved in trading futures (cont’d)  Customers must establish margin deposits with their brokers  Initial margin is typically between 5 and 18 percent of a futures’ full value  A futures contract price is “marked to market” daily  Customers may receive a margin call if the value moves in an unfavorable direction  A market order is executed at the prevailing price of the futures contract  A limit order is executed only if the price is within the limit specified 10 Background on Financial Futures (cont’d)  Steps involved in trading futures (cont’d)  How orders are executed  Brokerage firms communicate customers’ order to telephone stations located near the trading floor  Floor brokers accommodate orders  When two traders on the floor reach an agreement through open outcry, the information is transmitted to the customers  Floor brokers receive transaction fees in the form of a bid- ask spread  The futures exchange acts as a clearinghouse [...]... Impact of the opportunity cost   Investors who buy stock index futures instead of the stock index do not receive any dividends Investors who buy stock index futures put up a much smaller investment 13 Explaining Price Movements of Bond Futures Contracts  Participants in the Treasury bond futures market closely monitor the same economic indicators monitored by participants in the Treasury bond market: . 1 Chapter 13 Financial Futures Markets Financial Markets and Institutions, 7e, Jeff. ©2006 by South-Western, a division of Thomson Learning. All rights reserved. 2 Chapter Outline  Background on financial futures  Interpreting financial futures