文档介绍：2. Futures and Forward Markets
Summary
Contract Specifications
Margin Accounts
Pattern of Futures Prices
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Charles Cao
Contract Specifications
The asset
The contract size
Delivery arrangement
Delivery month
Price quotes
Position limit (1000, 300)
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Charles Cao
Trading Unit 5,000 bu
Deliverable Grades No. 2 Yellow at par and substitutions at differentials established by the exchange
Price Quote Cents and quarter-cents/bu
Tick Size 1/4 cent/bu ($)
Daily Price Limit 12 cent/bu ($600/contract) above or below the previous day’s settlement price (expandable to 18 cent/bu)
Contract Months Dec, Mar, May, Jul, Sep
Ticker Symbol C
Corn Futures
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Charles Cao
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Charles Cao
Contract Specifications
Closing out positions
Enter into a contract that is the opposite of the original contract
An example:
March 6, long one July corn futures contract
April 12, short one July corn futures contract
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Charles Cao
Contract Specifications
Closing out positions (cont.)
Majority of the futures contracts do not lead to delivery
Your gain or loss is determined by the change in the futures prices between March 6 and April 12
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Margin Accounts
Marking to markets
At the end of each day, the margin account is adjusted to reflect the investor’s gain or loss
Maintenance margin
An example:
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Operation of Margins for a Long Position in Two Gold Futures Contracts
The contract size is 100 ounces
The price of gold futures is $400 per pounce
The initial margin requirement is 5%
The initial margin is $2,000 per contract or $4,000 in total
The maintenance margin is $1,500 per contract or $3,000 in total
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Day
Futures Price (dollars)
Daily Gain (Loss) (dollars)
Cumulative Gain (Loss) (dollars)
Margin Account Balance (dollars)
Margin Call (dollars)
4,000
June 1
(600)
(600)
3,400
June 2
(180)
(780)
3,220
June 3
420
(360)
3,640
June 4
(220)
(580)
3,420
June 5
(80)