JOHNHULL期权与期货市场基本原理第七版ppt.ppt

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1、Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20102The Nature of DerivativesA derivative is an instrument whose value depends on the values of other more basic underlying variablesFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20

2、103Examples of DerivativesFutures ContractsForward ContractsSwapsOptionsFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20104Ways Derivatives are UsedlTo hedge riskslTo speculate (take a view on the future direction of the market)lTo lock in an arbitrage profitlTo c

3、hange the nature of a liabilitylTo change the nature of an investment without incurring the costs of selling one portfolio and buying anotherFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20105Futures ContractslA futures contract is an agreement to buy or sell an a

4、sset at a certain time in the future for a certain pricelBy contrast in a spot contract there is an agreement to buy or sell the asset immediately (or within a very short period of time)Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20106Exchanges Trading FutureslC

5、BOT and CME (now CME Group)lIntercontinental ExchangelNYSE Euronext lEurex lBM&FBovespa (Sao Paulo, Brazil)land many more (see list at end of book)Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20107Futures PricelThe futures prices for a particular contract is the

6、price at which you agree to buy or selllIt is determined by supply and demand in the same way as a spot priceFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20108Electronic TradinglTraditionally futures contracts have been traded using the open outcry system where t

7、raders physically meet on the floor of the exchangelIncreasingly this is being replaced by electronic trading where a computer matches buyers and sellersFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 20109Examples of Futures ContractsAgreement to:lbuy 100 oz. of go

8、ld US$1050/oz. in December lsell 62,500 1.5500 US$/ in March lsell 1,000 bbl. of oil US$75/bbl. in AprilFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201010TerminologylThe party that has agreed to buy has a long positionlThe party that has agreed to sell has a sho

9、rt positionFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201011ExamplelJanuary: an investor enters into a long futures contract to buy 100 oz of gold $1050 in AprillApril: the price of gold $1065 per oz What is the investors profit?Fundamentals of Futures and Opti

10、ons Markets, 7th Ed, Ch 1, Copyright John C. Hull 201012Over-the Counter MarketslThe over-the counter market is an important alternative to exchangeslIt is a telephone and computer-linked network of dealers who do not physically meetlTrades are usually between financial institutions, corporate treas

11、urers, and fund managersFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201013Size of OTC and Exchange Markets(Figure 1.2, Page 4) Source: Bank for International Settlements. Chart shows total principal amounts for OTC market and value of underlying assets for excha

12、nge marketFundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201014Forward ContractslForward contracts are similar to futures except that they trade in the over-the-counter marketlForward contracts are popular on currencies and interest ratesFundamentals of Futures and

13、 Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201015Foreign Exchange Quotes for USD/GBP exchange rate on July 17, 2009 (See page 5)BidOfferSpot1.63821.63861-month forward1.63801.63853-month forward1.63781.63846-month forward1.63761.6383Fundamentals of Futures and Options Markets, 7th Ed, Ch

14、 1, Copyright John C. Hull 201016OptionslA call option is an option to buy a certain asset by a certain date for a certain price (the strike price)lA put option is an option to sell a certain asset by a certain date for a certain price (the strike price)Fundamentals of Futures and Options Markets, 7

15、th Ed, Ch 1, Copyright John C. Hull 201017American vs European OptionslAn American option can be exercised at any time during its lifelA European option can be exercised only at maturity Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201018Google Option Prices (Jul

16、y 17, 2009; Stock Price=430.25); See page 6 Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201019Exchanges Trading OptionslChicago Board Options ExchangelInternational Securities ExchangelNYSE EuronextlEurex (Europe)land many more (see list at end of book)Fundament

17、als of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201020Options vs Futures/ForwardslA futures/forward contract gives the holder the obligation to buy or sell at a certain pricelAn option gives the holder the right to buy or sell at a certain priceFundamentals of Futures and Op

18、tions Markets, 7th Ed, Ch 1, Copyright John C. Hull 201021Hedge Funds (see Business Snapshot 1.1, page 10) lHedge funds are not subject to the same rules as mutual funds and cannot offer their securities publicly. lMutual funds must ldisclose investment policies, lmakes shares redeemable at any time

19、,llimit use of leverageltake no short positions. lHedge funds are not subject to these constraints.Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201022Three Reasons for Trading Derivatives:Hedging, Speculation, and ArbitragelHedge funds trade derivatives for all t

20、hree reasons lWhen a trader has a mandate to use derivatives for hedging or arbitrage, but then switches to speculation, large losses can result. (See SocGen, Business Snapshot 1.2) Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201023Hedging Examples (Example 1.1

21、and 1.2, page 11)lA US company will pay 10 million for imports from Britain in 3 months and decides to hedge using a long position in a forward contractlAn investor owns 1,000 Microsoft shares currently worth $28 per share. A two-month put with a strike price of $27.50 costs $1. The investor decides

22、 to hedge by buying 10 contracts Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201024Value of Microsoft Shares with and without Hedging (Fig 1.4, page 12)Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201025Speculation Example (p

23、ages 14)lAn investor with $2,000 to invest feels that a stock price will increase over the next 2 months. The current stock price is $20 and the price of a 2-month call option with a strike of $22.50 is $1lWhat are the alternative strategies? Fundamentals of Futures and Options Markets, 7th Ed, Ch 1

24、, Copyright John C. Hull 201026Arbitrage Example (pages 15-16)lA stock price is quoted as 100 in London and $162 in New YorklThe current exchange rate is 1.6500lWhat is the arbitrage opportunity?Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 2010271. Gold: An Arbit

25、rage Opportunity?lSuppose that:lThe spot price of gold is US$1000lThe quoted 1-year futures price of gold is US$1100lThe 1-year US$ interest rate is 5% per annumlNo income or storage costs for goldlIs there an arbitrage opportunity? Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyrigh

26、t John C. Hull 2010282. Gold: Another Arbitrage Opportunity?lSuppose that:lThe spot price of gold is US$1000lThe quoted 1-year futures price of gold is US$990lThe 1-year US$ interest rate is 5% per annumlNo income or storage costs for goldlIs there an arbitrage opportunity?Fundamentals of Futures an

27、d Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 201029The Futures Price of Gold If the spot price of gold is S & the futures price is for a contract deliverable in T years is F, then F = S (1+r )Twhere r is the 1-year (domestic currency) risk-free rate of interest.In our examples, S=1000, T=

28、1, and r=0.05 so thatF = 1000(1+0.05) = 1050Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 2010301. Oil: An Arbitrage Opportunity?Suppose that:lThe spot price of oil is US$70lThe quoted 1-year futures price of oil is US$80lThe 1-year US$ interest rate is 5% per ann

29、umlThe storage costs of oil are 2% per annumlIs there an arbitrage opportunity?Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 2010312. Oil: Another Arbitrage Opportunity?lSuppose that:lThe spot price of oil is US$70lThe quoted 1-year futures price of oil is US$65lThe 1-year US$ interest rate is 5% per annumlThe storage costs of oil are 2% per annumlIs there an arbitrage opportunity?