文档介绍：Mechanics of Futures Markets
Chapter 2
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Futures Contracts
Available on a wide range of underlying assets
Exchange traded
Specifications need to be defined:
What can be delivered,
Where it can be delivered,
When it can be delivered
Settled daily
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Margins
A margin is cash or marketable securities deposited by an investor with his or her broker
The balance in the margin account is adjusted to reflect daily settlement
Margins minimize the possibility of a loss through a default on a contract
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Example of a Futures Trade
An investor takes a long position in 2 December gold futures contracts on June 5
contract size is 100 oz.
futures price is US$400
margin requirement is US$2,000/contract (US$4,000 in total)
maintenance margin is US$1,500/contract (US$3,000 in total)
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
A Possible e Table , Page 25
Daily
Cumulative
Margin
Futures
Gain
Gain
Account
Margin
Price
(Loss)
(Loss)
Balance
Call
Day
(US$)
(US$)
(US$)
(US$)
(US$)
4,000
5-Jun
(600)
(600)
3,400
0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
13-Jun
(420)
(1,340)
2,660
1,340
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
19-Jun
(1,140)
(2,600)
2,740
1,260
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
26-Jun
260
(1,540)
5,060
0
+
=
4,000
3,000
+
=
4,000
<
5
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Other Key Points About Futures
They are settled daily
Closing out a futures position involves entering into an offsetting trade
Most contracts are closed out before maturity
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
Delivery