CH6 外汇期货与外汇期权

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Toting Up
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Daily Resettlement: An Example
Settle Gain/Loss Account Balance $1.30 –$– $6,500 $1.31 $1,250 $7,750 $1.30 –$1,250 $6,500 $1.27 –$3,750 $2,750 + $3,750 $1.26 –$1,250 $5,250 $1.24 –$2,500 $2,750 Total loss = – $7,500 = ($1.24 – $1.30) × 125,000 = $2,750 – ($6,500 + $3,750)
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Reading Currency Futures Quotes
OPEN HIGH LOW SETTLE CHG OPEN INT
Open Interest 未平仓合约
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Euro/US Dollar (CME) —€125,000; $ per € (CME)—
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Settle $1.31 $1.30 $1.27
Settle $1.31 $1.30 $1.27 $1.26 $1.24
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On third day suppose our investor keeps his long position open by posting an additional $3,750.
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任何一位希望通过两种货币之间的相对变动 来赚取投机利润的投资人都可采取以下策略：
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短仓(short position ，空头、卖单) ： 若判断未来货币的价格会下跌，就卖出期货合约。 长仓(long position ，多头、买单) ： 若判断未来货币的价格会上涨，就买进期货合约。
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With futures, we have daily resettlement of gains an losses rather than one big settlement at maturity. Every trading day:
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if the price goes down, the long pays the short if the price goes up, the short pays the long Each day’s losses are subtracted from the investor ’s account. Each day’s gains are added to the account.
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外汇期货的特点
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外汇期货合约的特点
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标准条款 公开市场 交易机会 佣金
交易合约规格：交易契约规格是由交易所依据期货 交易的方式来订定
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合约的规模 Contract Size——名义本金 (notional principal) 表示汇率的方法： 大多采用的是“美式报价” 到期日Delivery Month： 许多交易合约会安排在 1月、3月、4月、6月、7月、9月、10 月或12月的第三个星期三到期 最后交易日： 期货合约的交易一般在到期星期三的两个工作日前进行
是具有标准化合约规模，在到期日可交付的在交 易所交易的远期合约。
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大部分的世界金融中心都设有外汇期货交易市场，而美国 最重要的外汇期货市场为芝加哥商业交易所 (Chicago Mercantile Exchange, CME)的分支部门 ──国际货币市场 (International Monetary Market, IMM)
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每个期权都有三种不同的价格要素：
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执行价格(exercise price) 或称履约价格(strike price) ：指外汇可被买进（买权）或卖出（卖权） 的汇率。 期权费或权利金(premium) ：期权的成本、价 格或价值
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买权(calls) ——购买外汇的权利 卖权(puts) ——卖出外汇的权利
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the end of his adventures, our investor has three ways of computing his gains and losses:
of daily gains and losses – $7,500 = $1,250 – $1,250 – $3,750 – $1,250 – $2,500 �Contract size times the difference between initial contract price and last settlement price. – $7,500 = ($1.24/€ – $1.30/€) × €125,000 �Ending balance on account minus beginning balance on account, adjusted for deposits or withdrawals. – $7,500 = $2,750 – ($6,500 + $3,750)
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清算所
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外汇期货合约的特点(续）
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使用外汇期货
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保证金制度：
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期货合约买家必须存入一笔金额作为原始保证金 （Initial Margin ） 每日结算(Daily resettlement) 的意思是用当日收 盘价重新评估合约的价格，所应支付的金额则称 为追加保证金(variation margin) 维持保证金（Maintenance Margin) ：逐日清算 后必须维持的最低水平，一般是初始保证金的 75~80% 。
Mar Jun 1.4748 1.4737 1.4830 1.4818 1.4700 1.4693 1.4777 1.4763 .0028 .0025 172,396 2,266
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Open Interest refers to the number of contracts outstanding for a particular delivery month. 未平仓合约是分析期货市场的重要参考数据 之一。
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Daily Resettlement: An Example
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Daily Resettlement: An Example
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Consider a long position in the CME Euro/U.S. Dollar contract. It is written on €125,000 and quoted in $ per €. The strike price is $1.30 the maturity is 3 months. At initiation of the contract, the long posts an initial performance bond of $6,500. The maintenance performance bond is $4,000.
1,398,959 Eurodollar futures prices are stated as an index number of three-month LIBOR calculated as F = 100 – LIBOR. The closing price for the June contract is 96.56 thus the implied yield is 3.44 percent = 100 – 96.56 Since it is a 3-month contract，one basis point corresponds to a $25 price （change: 0.01 percent of $1 million represents $100 on an annual basis.）
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Expiry month Opening price Highest price that day
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Closing price Daily Change Lowest price that day Number of open contracts
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Some refer to open interest as the depth of the market. The breadth of the market would be how many different contracts (expiry month, currency) are outstanding.
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选择权的买方称为期权买方 (holder) ，选择权的卖方 称为发行人(writer) 或授予人(grantor) 。
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期权费是指外汇期权买方支付给卖方的费用。 外汇期权价格主要分为内在价值与时间价值两部分。
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期权 外汇 外汇期权
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期权（续） 外汇 外汇期权
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外汇期权（选择权）(foreign currency option) 为给予 期权购买人（买方）在特定期间（直至到期日）以 每单位固定价格买进或卖出一已知外汇金额之权利 而非义务的一种交易合约。 市场上有两种基本的选择权形式：