2022年期货从业 .pdf

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1、2.1 Distinguish between the terms open interest（未平仓合约）and trading volume（交易量）.The open interest of a futures contract at a particular time is the total number of long position（长头寸）outstanding（未偿还的）.(Equivalently（等价的）,it is the total number of short positions outstanding.)The trading volume during a

2、certain period of time is the number of contracts traded during this period.2.2What is the difference between a local and a futures commission merchant?A future commission merchant（期货佣金经纪人）trades on behalf of a client（客户）and charges a commission（收取佣金）.A local trades on his or her own behalf（利益）.2.3

3、There will be a margin call when$1.000 has been lost from the margin call.The price of silver must therefore rise to$17.40 per ounce for there to be a margin call.If the margin call is not met,your broker经纪人closes out your position（平仓）.2.4 The total profit is($70.5-$68.3)*1,000=$2,200.Of this($69.10

4、.5-$68.3)*1,000=$800 is realized on a day-by-day basis between September 2012 and December 31,2012.A further($70.5-$69.10)*1,000=$1,400 is realized on a day-by-day basis between January 1,2013,and March 2013.A hedger 对冲者would be taxed on the whole profit of$2,200 in 2013.A speculator 投机者would be tax

5、ed on$800 in 2012 and$1,400 in 2013.2.5 What does a stop order to sell at$2 mean?When might it be used?What does a limit order to sell at$2 mean?When might it be used?A stop order to sell at$2 is an order to sell at the best available price of$2 or less is reached.It could be used to limit the losse

6、s from an existing long position.A limit order to sell at$2 is an order to sell at a price of$2 or more.It could be used to instruct a broker that a short position should be taken,providing it can be done at a price more favorable than$2.2.6 What id the difference between the operation of the margin

7、 accounts administered by a clearing house and those administered by a broker?（结算中心管理的保证金账户的运作与经纪人管理的保证金账户的运作有什么区别）The margin account administered by the clearing house is marked to market daily,and the clearing house member is required to bring the account back up to the prescribed规定的level daily.Th

8、e margin account administered by the broker is also market to market daily.However,the 名师资料总结-精品资料欢迎下载-名师精心整理-第 1 页，共 5 页 -account does not have to be brought up to the initial level on daily basis.It has to be brought up to the initial margin level when the balance in the account falls below the ma

9、intenance margin level.The maintenance margin is usually about 75%of the initial margin保证金.2.7 What differences exist in the way price are quoted in the foreign exchange futures market,the foreign exchange spot market,and the foreign exchange forward market?In future markets,prices are quoted as the

10、 number of US dollar per unit of foreign currency.Spot and forward rates are quoted in this way for the British pound,euro,Australian dollar,and New Zealand dollar.For other major currencies,spot and forward rates are quoted as the number of units of foreign currency per US dollar.2.8The party with

11、a short position in a futures contract sometimes has options as to the precise asset that will be delivered,where delivery will take place,when delivery will take place,and so on.Do these options increase or decrease the futures price?Explain your reasoning.These options make the contract less attra

12、ctive to the party with the long position and more attractive to the party with the short position.They therefore tend to reduce the futures price.2.9What are the most important aspects of the design of a new futures contract?The most important aspects of the design of a new futures contract are the

13、 specification of the underlying asset,the size of the contract,the delivery arrangements,and the delivery months.2.10 Explain how margin protect investors against the possibility of default.A margin is a sum of money deposited by an investor with his or her broker.It acts as a guarantee that the in

14、vestor can cover any losses on the futures contract.The balance in the margin account is adjusted daily to reflect gains and losses on the future contract.If losses are above a certain level,the investor is required to deposit a further margin.This system makes it unlikely that the investor will def

15、ault.A similar system of margins makes it unlikely that the investors broker will default on the contract it has with the clearing house member and unlikely that the clearing house member will default with the clearing house.2.11 There is a margin call if more than$1,500 is lost on one contract.This

16、 happens if the futures price of frozen orange juice falls by more than 10 cents to below 150 cents per pound.$2,000 can be withdrawn from the margin account if there is a gain on one contract of$1,000.This will happen if the futures price rises by 6.67 cents to 166.67 cents per pound.名师资料总结-精品资料欢迎下

17、载-名师精心整理-第 2 页，共 5 页 -2.12 If the futures price is greater than the spot price during the delivery period,an arbitrageur buys the asset,shorts a futures contract,and makes delivery for immediate profit.If the futures price is less than the spot price during the delivery period,there is no similar pe

18、rfect arbitrage strategy.An arbitrageur can take a long futures position but force immediate delivery of the asset.The decision on when delivery will be made is made by the party with the short position.Nevertheless companies interested in acquiring the asset may find it attractive to enter into a l

19、ong futures contract and wait for delivery to be made.2.13 Explain the difference between a market-if-touched order and a stop order.A market-if-touched order is executed执行at the best available price after a trade occurs at a specified price or at a price more favorable than the specified price.A st

20、op order is executed at the best available price after there is a bid 出价or offer at the specified price or at a price less favorable than the specified price.2.14 Explain what a stop-limit order to sell at 20.30 with a limit of 20.10 means.A stop-limit order to sell at 20.30 with a limit of 20.10 me

21、ans that as soon as there is a bid at 20.30 the contract should be sold providing this can be done at 20.10 or a higher price.2.15 The clearing house member is required to provide 20*2,000=$40,000 as initial margin for the new contracts.There is a gain of(50,200-50,000)*100=$20,000 on the existing c

22、ontracts.There is also a loss of(51,000-50,200)*20=$16,000 on the new contracts.The member must therefore add 40,000-20,000+16,000=$36,000 to the margin account.2.16 Suppose?1and?2are the forward exchange rates for the contracts entered into July 1,2012 and September 1,2012,and S is the spot rate on

23、 January 1,2013.(All exchange rates are measured as yen per dollar.)The payoff from the first contract is(S-?1)买入是现价高就赚million yen and the payoff from the second contract is（?2-S）卖出时现价高就赔钱million yen.The total payoff is therefore S-?1+?2-S=(?2-?1)million yen.2.17 The forward price on the Swiss franc

24、瑞士法郎for delivery in 45 days is quoted as 1.1000.The futures price for a contract that will be delivered in 45 days is 0.9000.Explain these two quotes.Which is more favorable for an investor wanting to sell Swiss francs?The 1.1000 forward quote is the number of Swiss francs per dollar.The 0.9000 futu

25、res quote is the number of dollars per Swiss francs.When quoted in the same way as the futures price the forward price is 1/1.1000=0.9091.The Swiss franc is therefore more valuable in the forward market than in the futures market.The forward market is therefore more attractive for an 名师资料总结-精品资料欢迎下载

26、-名师精心整理-第 3 页，共 5 页 -investor wanting to sell Swiss francs.2.18 Suppose you call your broker and issue instructions to sell one July hogs 猪 contract.Describe what happens.Live hog futures are traded on the Chicago Mercantile Exchange.The broker will request some initial margin.The order will be rela

27、yed转发by telephone to your broker s trading desk on the floor of exchange(or to the trading desk of another broker).It will then be sent by messenger送信者to a commission broker佣金经纪人who will execute the trade according to your instructions.Confirmation确认书of the trade eventually reaches you.If there are

28、adverse不利的 movements in the futures price your broker may contact you to request additional margin.2.19“Speculation in futures markets is pure gambling.It is not in the public interest to allow speculators to trade on a futures exchange.”Discuss this viewpoint.Speculators are important market partic

29、ipants because they add liquidity to the market.However,contracts must be useful for hedging as well as speculation.This is because regulators 监管部门generally only approve contracts when they are likely to be of interest to hedgers as well as speculators.2.20 Live cattle 活牛futures trade with June,Augu

30、st,October,December,February,and April maturities 到期.Why do you think that the open interest for the June contract is less than for the August contract in Table 2.2?Normally,the shorter the maturity of a contract is,the higher the open interest.However,traders tend to close out their position in the

31、 month immediately before the maturity month.This mean that the open interest for the closet maturity month can be less than that for the next closest maturity month.2.21 What do you think would happen if an exchange started trading a contract in which the quality of the underlying asset was incompl

32、etely specified?The contract would not be a success.Parties with short positions would hold their contracts until delivery and then deliver the cheapest form of the asset.This might well be viewed by the party with the long position as garbage!Once news of the quality problem became widely known no

33、one would be prepared to buy the contract.This shows that futures contracts are feasible only when there are rigorous standards within an industry for defining the quality of the asset.Many futures contracts have in practice failed because of the problem of defining quality.2.22”When a futures contr

34、act is traded on the floor of the exchange,it may be the case that the open interest increases by one,stays the same,or decrease by one.”Explain this statement.If both sides of the transaction 交易are entering into a new contract,the open interest increases by one.If both sides of the transaction are

35、closing out existing positions,the open interest decreases by one.名师资料总结-精品资料欢迎下载-名师精心整理-第 4 页，共 5 页 -If one party is entering into a new contract while the other party is closing out an existing position,the open interest stays the same.2.23 The total profit is 40,000*(0.9120-0.8830)=$1,160 If the

36、company is a hedger this is all taxed in 2013.If it is a speculator,40,000*(0.9120-0.8880)=$960 is taxed in 2012 and 40,000*(0.8880-0.8830)=$200 is taxed in 2013.2.24 The farmer can short 3 contracts that have 3 months to maturity到期.If the price of cattle falls,the gain on the futures contract will

37、offset the loss on the sale of the cattle.If the price of cattle rises,the gain on the sale of the cattle will be offset by the loss on the futures contract.Using futures contracts to hedge has the advantage that it can at no cost reduce risk to almost zero.Its disadvantage is that the farmer no lon

38、ger gains from favorable movements in cattle prices.2.25 The mining company can estimate its production on a month by month basis.It can then short futures contracts to lock in the price receives for the gold.For example,if a total of 3,000 ounce are expected to be produced in September 2011 and October 2011,the price received for this production can be hedged by shorting 30 October 2011 contracts.名师资料总结-精品资料欢迎下载-名师精心整理-第 5 页，共 5 页 -