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Data:2009-12-12 2:34
Stock index futures refers to the stock market price index (the index) as the object of futures trading. Financial futures, stock index futures is the latest in the emergence of a species, but its also the 20th century, 80 years appear in the process of financial innovation of the most important and most successful financial tools.
The stock market investors in the stock market can be divided into two kinds of risks. One is the overall risk of the stock market, also known as systematic risk, that is, all or most of the stock price volatility with risk. The other is the risk of individual stocks, also known as non-systematic risk, that is, holding a single stock market faces the risk of price fluctuations. Through the investment portfolio, that is, purchase a variety of risks of different stocks can be better to avoid non-systematic risk, but can not effectively circumvent the entire stock market decline caused by systemic risk.
Consistency characteristics of stock index futures stock index futures: All those items mentioned in the same contract on the quantity, the number of units, price fluctuations on the minimum rate and other factors are the same; mobility: contracts, buyers and sellers are usually due in the contract pre-hedging transactions to end with the positions they hold; leverage: the initial stock index futures little margin, high leverage can be a relatively small price changes to achieve greater gains in standardized elements of the underlying stock index futures, trading units and the Tick, Japan and price limits, margin levels, the contract month, the last trading day of the final settlement price of the underlying index: subject matter index is one of the key index contract design, the index calculation scientific and representative of the market in index futures the functioning of markets able to achieve the basic premise.
Index option contract subject matter is mainly aimed at different market conditions and the hedging needs of hedge prepared. While the various indices in different directions, but all must be able to reflect local political and economic developments.
Although all the underlying Index and the number of different, but all of these constituent stocks with large market capitalization and turnover in the circulation, the index constituent stocks and the flow of market value accounted for the total market value of the proportion of market circulation reaches over 50%.
Trading Unit: Contract unit price index is based on the points with a multiplier to represent the product, the multiplier to give a fixed value for each index point amount. This fixed multiplier reflects the standardization of stock index futures contract characteristics, and the multiplier is basically a multiple of 5, such as the introduction of stock index futures and other 10,50,100,250 early stage, generally relatively large contracts will be adopted trading unit, to improve the market access threshold, to prevent excessive speculation, as index futures running more mature, the re-introduction of smaller contracts in order to meet investor demand for more. Multiplier sets out principles, mainly to ensure that the value of standardization of the contract can be suited to market development needs.
The smallest changes in unit: the smallest unit of change (ie a scale), usually with the points expressed in the contract with minimal changes in units and the multiplier can be obtained by multiplying the smallest unit of currency changes in the form of units. The smallest unit of market transactions, changes in the level of activity has important implications, if the change in unit too large, will likely crack down on investor enthusiasm for participation. Changes in the determination of the principles of the smallest units, mainly active in ensuring the degree of market transactions, while reducing transaction costs.
Margin level: Margin is the clearing agency in order to prevent the breach of contract demands index futures were trading in the purchase contract must pay part of the capital, according to the different nature can be divided into the initial margin and additional margin. The initial margin is the establishment of trading in the first position to pay the deposit required. Additional margin is due to positions held by traders price changes and the need to pay deposit. The level of margin will determine the leverage effect of stock index futures, margin levels are too high, will restrain the market trading volume, while the margin level is too low, may give rise to excessive speculation and increase market risks.
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The contract and the last trading day of the month: the month the contract is provided by the Stock Exchange's index futures contract expiration month of delivery, the international movement of stock index futures contract month of March, June, September, December. Recent Contract Months is a market trading volume and position more focused variety. A variety of stock index futures last trading day of a slightly different, but basically the contract month in the last few trading days.
The final settlement price: the final index futures contract cash settlement. Cash-settled index futures contracts in a way that the final point and the actual stock index points necessarily consistent, steady decline in the bound together by the due date, the cash settlement of the final settlement price is determined in accordance with prevailing spot price of. The Stock Exchange settlement price is not the same specific ways, you can spot the last trading day closing price, the last trading day of the next day opening price can also be the final settlement day average trading price of a period. The specific manner in the contract are clearly defined.
The daily price fluctuation limits: in October 1987 stock market turmoil, the vast majority of exchange-listed stock index futures contracts on the provisions of the daily price fluctuation limits. However, all the provisions of the exchange is not the same, this difference both in the limited range, but also in limited way. Chicago Board of Trade restrictions: +80 points, -50 points, Osaka, Japan, the Exchange's Nikkei 225 index futures limited to: plus or minus 3%.
Speculative investment strategy Strategy: The purpose of stock index futures speculation by changes in the prices of stock index futures to profit; is expected to be rise in stock futures contracts purchased as long î–?speculation; is expected to drop to sell stock that will be referred to as short speculative futures contracts î–?; pure stock index futures speculation Huge Risk î–?1995 the UK's leading investment bank Barings Bank collapse is because of excessive speculation in financial futures markets. Hedging Strategies: Hedging is in the stock market and stock index futures markets operate in the opposite direction to offset the impact of price fluctuations in the operation carried out. Hedging principle is that the stock index is based on a set of changes in stock prices compiled î–?so the stock price and the stock price indices trend is essentially the same direction. Hedging operations î–?should be noted that the stock portfolio holdings of stock index futures and the underlying index has a good correlation.
Short Hedge: short hedging is mainly already hold the spot or are expected in the future will hold stock investors by selling stock index futures using î–?to hedge their risk.
1 î—?bearish stock market index futures î–?shareholders to compensate for the use of their stock losses;
2 î—?investment bank or underwriter for the underwriting of newly listed companies are expected when î–?issue price of the stock offering period will be affected by the overall decline in the share price in the IPO î–?index futures sold in advance;
3 î—?stock dealers can use hedging to reduce price risk.
Long hedge: Multi-hoods Bulgaria is the reverse operation of short hedging î–?primarily for selling the stock of private and institutional use.
1 î—?institutional investors in regular infusion of funds can only be the case î–?the use of stock index futures, bought control of time;
2 î—?î–?foreign investors is limited if the outflow of funds can reduce the stock market rally î–?brought an increase in transaction costs;
3 î—?î–?in mergers and acquisitions in order to prevent the acquisition when the company's share price rose with the broader market hedging î–?conducted.
Arbitrage Strategy: stock index arbitrage is when the different months or different types of stock index futures contracts, spread by a combination of unusual î–?of stock index futures trading profit of different investment strategies; arbitrage stock-index futures simultaneously in both varieties Reverse operation î–?and hedging is a cash and stock index futures in the stock between the operations.
Types of arbitrage:
Intertemporal arbitrage �using the same futures market �the same financial products but different delivery month contract the difference between the unusual opportunity to �the same time when the forward contracts in the past on the reverse operation. Intertemporal arbitrage is the main form of stock index futures arbitrage; cross-product arbitrage �is the use of different but relevant economic and financial futures contracts is not the normal price relationships between the �the same time, two different types but the same delivery month of the financial the reverse operation between futures.
Cross-market arbitrage �in different exchanges simultaneously to the same delivery month of the same kinds of financial futures contracts reverse operation.
Intertemporal arbitrage category can be divided into inter-period and short-selling to buy an empty intertemporal. Buy an empty inter-period is the recent agreement to buy forward contracts to sell î–? short period of cross-selling recent agreement to buy forward contracts î–?
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