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1、Speculating with Stock Inde Futures 茆懿心博士Dr Jennifer Mao Suppose the settlement prices for the SiMSCI FuturesSeptember contract over the period from the 24th to the 31stof August are as shown in Column (3) of the acpanyingtable. Since Mr Tan buys one contract at 180.0 on 24 Augustand the settlement
2、price at the close of that days tradingis 182.4， he makes a gain of 2.4 points. The profit of $480(being $200 x 2.4) will be credited to his margin account.Suppose Mr Tan remains bullish on the Singapore stockmarket and does not close out his position till 31 August.Then， his daily gain (or loss) wi
3、ll be determined by thesettlement price at the end of each day. This daily putationof profits and losses will be carried out until the position issquared off by an offsetting trade. In the table， Mr Tansdaily gains (or losses) are shown in Columns (4) and (5).After each days settlement， if the balan
4、ce of his marginaccount is above the maintenance margin level of $4，000，Mr Tan will not get a margin call. Once the balancetouches $4，000， however， Mr Tan must replenish his marginaccount to the initial margin level of $5，000 if he does notwant his position to be forced-closed. As such， in ourexampl
5、e， Tan will need to meet a margin call for $2，240 whenthe index falls 6.4 points on 27 August and his marginaccount dips to $2，760.Suppose Mr Tan finally decides to close out his positionon 31August at a price of 165.2 points. After deducting hisfinal days loss of $960， he can withdraw the $4，280 le
6、ft inhis margin account.Over the eight-day period， Tan loses a total of $2，960 (=$200 x (165.2-180.0). This can be verified by his cashflows: Altogether he pays $7，240， the sum of the initialmargin $5，000 and a margin call of $2，240. However， at theend of the game， he only gets back $4，280.On total
7、cash outflows of $7，240， the loss of $2，960amounts to a 40.9% loss while the index drops by arelatively small 8.2%. Such is the power of leverage orgearing， i.e.， being able to bet on something worth$36，000 with only a capital of $7，240.When a speculator bets wrongly， gearing blows up thedamage. If
8、the bet is placed on the right side of the table，the reward will be similarly magnified. If Mr Tan foreseesthe market downtrend correctly and sells the contract at180.0 on 24 August and buys it back at 165.2 on 31 August，his investment will be just $5，000 (since he will not faceany margin calls). He
9、 will have a profit of $2，960， a 59.2%rate of return.First of all， as with all speculative financialactivities， profits are made when the bet is proven right;losses result if the bet turns out to be wrong. To speculateon broad market movements using SIF， one must be aware ofthe blow-up effect of gea
10、ring mentioned above.pared with an actual investment in a basket of shares，taking a long position in SIF has another shorting. Whenthe market drops， both shares and the long position in SIFwill lose value. However， shares do not expire (unless thepany goes bankrupt and is liquidated) and if an inves
11、torwith the holding power decides to hold on to the shares， hecan always do so. This however does not apply to SIF. EachSIF has a maturity date when any outstanding position inthat contract must be closed. In other words， one can choosenot to realise paper losses when one invests in shares; but，one
12、will be forced to realise such losses with SIFcontracts. Of course， investors still bullish or bearish onthe broad market can always place their bets on other SiMSCIFutures contracts still outstanding.First of all， as illustrated above， a bullish investorneeds only a relatively small sum of money to
13、 bet on thebroad trend of the 35 stocks included in the MSCI index. Forthose who are bearish about the broad market movement， ashort position in SIF allows them to profit from this viewif it turns out to be right.Secondly， for investors who have a view on the broadmarket， but are not interested in p
14、icking specific counters，SIF is an ideal instrument.Thirdly， the transaction costs for trading SIF contractswill not be proportional to the contract value. Instead， itwill be a flat fee per contract for a round trip. There isno doubt that the actual cost figure will be significantlylower than the mi
15、ssions and clearing fees incurred forSES stock trading.Finally， with the low required capital and transactioncosts， an investor can get in and out of the market easilyand cheaply. If there is good liquidity of SiMSCI Futures tostart with， a virtuous circle can set in to draw in morehedgers and speculators， leading to even lower transactioncosts and higher liquidity.(Part two of two)(The writer is Senior Lecturer of the Department of Financeand Accounting， NUS & a resource panellist of SPHs ChineseNewspapers.)如何以股价指数期货投机？假设9月30日到期的摩根新加坡指数期货从1998年8月24日到8月31日的结算价格有如附表第3栏所示。张三在8月24日以1
