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1、Chapter 2Beginning with the Basics国际期货市场运作2BeginningwiththeBanSupposethatyouandIlivedinruralarea.Iraisebeefcattle.Youraisecorn15milesdowntheroad.Why do we need the futures market?国际期货市场运作2BeginningwiththeBanEach fall, when your corn comes in, you truck the entire crop to me, and I buy it to feed to
2、my steers. nTo make things fair, we agree that I will pay you the cash price for corn on an exchange on the day I take delivery.国际期货市场运作2BeginningwiththeBanCornisimportanttobothofus.Itisyourprincipalcrop;itismymaincostinfeedingcattle.国际期货市场运作2BeginningwiththeBanLetssetourcornpricenowfornextfallnLets
3、pickapricethatallowseachofusareasonableprofitandagreeonit.国际期货市场运作2BeginningwiththeBaDefinition of a futures contractnAfuturescontractisanagreementbetweenasellerandabuyer.Theagreementcallsforasellertodeliveraspecifiedquantityofaparticulargradeofacertaincommodityoritscashequivalenttoapredeterminedloc
4、ationonacertaindate.国际期货市场运作2BeginningwiththeBaWhat is Risk Transfer and Why transfer it? nAskanyfarmerabouttherisksinvolvedingrowingacropofcorn.国际期货市场运作2BeginningwiththeBaWhat is Risk Transfer and Why transfer it? nIftheweatherduringthegrowingseasonistoodryortoowetortoowindy,thefarmermayhaveapoorcr
5、op,butsowillotherfarmers.国际期货市场运作2BeginningwiththeBaWho Benefits from the Transfer of Risk?nThe transfer of risk using a futures contract can benefit the buyers, or the seller, or both. 国际期货市场运作2BeginningwiththeBaWho Benefits from the Transfer of Risk?nThe trader who took the other side of the corn
6、transaction is unhappy to be losing $1 on the trade.nThe risk in this case has been transferred from the producer (seller) to the buyer.国际期货市场运作2BeginningwiththeBaWho Benefits from the Transfer of Risk?nOnabroaderscales,theconsumerorenduserbenefitsaswell国际期货市场运作2BeginningwiththeBaMarket Participants
7、nFour broad categories of market participants in futures trading:nProducernEnd UsernSpeculatornFloor Trader or Pit Broker国际期货市场运作2BeginningwiththeBaProducernThese goods can be anything from grain tolivestock to Swiss francs to silver. Theproducermaybeasellerofgoodsaswellasabuyer.国际期货市场运作2Beginningwi
8、ththeBaEnd UsernThisgroupoftenconsistsofmanufacturersorlargeusersofrawproducts.国际期货市场运作2BeginningwiththeBaSpeculatornThespeculatorcanbeeitherabuyeroraseller,depending on his or her analysis of andorientationtothemarkets.Thespeculatorisoftenwillingto take a positioncontrarytothecurrentmarkettrendinth
9、ehopeofmakingaprofit.国际期货市场运作2BeginningwiththeBaPrice RisknPriceriskoccursasaresultoftimeinterventioninatransaction.国际期货市场运作2BeginningwiththeBaPrice RisknIntense competitionnSeasonal harvest and seasonal demand.国际期货市场运作2BeginningwiththeBaPrice RisknIn short, Time and unpredictable circumstances国际期货市
10、场运作2BeginningwiththeBaTheEarlyHistoryoftheFuturesContractinEuropeandJapannInmedievalEurope,fairletterswerethecrudeforerunnersofthemodernfuturescontract.nThe first recorded example of actual futures trading occurred in Japan in 1697.国际期货市场运作2BeginningwiththeBaThe History of the Futures Contract in Ch
11、inanZhengzhou Commodity Exchange(ZCE),thefirstfuturesmarketinChina,wasestablishedonOctober 12th, 1990.ZCEstartedfuturestradingonMay28th,1993 with5commoditieslisted.国际期货市场运作2BeginningwiththeBanDalian Commodity Exchange (DCE) DCEwasfoundedonFebruary 28, 1993,andbeganfuturestradingonNovember18inthesame
12、year.国际期货市场运作2BeginningwiththeBaShanghai Futures Exchange国际期货市场运作2BeginningwiththeBaCHAIRMAN OF CHINA SECURITIES REGULATORY COMMISSIONlMr.ShangFulinwasborninNovember1951intoafamilyofHanethnicorigin.国际期货市场运作2BeginningwiththeBaChina Securities Regulatory CommissionnHistorical Background 国际期货市场运作2Begin
13、ningwiththeBaChina Securities Regulatory CommissionnThe establishment of the State Council Securities Commission (the SCSC)and the China Securities Regulatory Commission (the CSRC) in October1992markedtheformationofthisregulatorybody.国际期货市场运作2BeginningwiththeBaChina Securities Regulatory Commissionn
14、The scope ofthe authority ofthe SCSCandtheCSRCgraduallyexpandedwiththegrowthofthesecuritiesmarkets.国际期货市场运作2BeginningwiththeBaRegulation of the Futures Industry in USA In 1974,CongresspassedtheCommodityFuturesTradingCommissionAct.国际期货市场运作2BeginningwiththeBaNational Futures Association (NFA)nTheNatio
15、nalFuturesAssociation(NFA)isaself-regulatoryorganizationestablishedin1982.国际期货市场运作2BeginningwiththeBaNational Futures Association (NFA)nToassure“highstandardsofprofessionalconductandfinancialresponsibility”onthepartofitsmembers.国际期货市场运作2BeginningwiththeBaWhoIsRequiredtoRegisterwiththeCFTC?nFuturesCo
16、mmissionMerchant(FCM)nIntroducingBroker(IB)nCommodityPoolOperator(CPO)nCommodityTradingAdvisor(CTA)nAssociatedperson(AP)nAnAPisanindividualwhosolicitsorders,customers,orcustomerfundsonbehalfofanFCM,IB,CTA,orCPO.国际期货市场运作2BeginningwiththeBaProtection for the Individual InvestorPotentialabusesinthefutu
17、resindustryfallintothreebroadcategories:unfairtradingpractices,creditandfinancialrisks,andsalespracticesabuses.Unfairtradingpracticesincludepricemanipulation,prearrangedtrading,andtradingaheadofacustomer.国际期货市场运作2BeginningwiththeBaTrading The Futures Contract 1nIfIchoosetoenteracontractasabuyerorase
18、ller,whathappensifthecontractexpiresandIhavetomakegood?nWherewillIfindallthoseporkbelliestodeliver?nWhatifImabuyer?nWillmyfreezerhold40,000poundsoffrozenbacon?国际期货市场运作2BeginningwiththeBaTrading The Futures Contract 2nYouhavenothingtoworryabout.nFewerthan5percentofallfuturestransactionsresultindelive
19、ry.nThevastmajorityofcontractsareoffsetorliquidated priortodelivery.nYoucanliquidate yourpositionpriortothedeliverydateofthecontract.国际期货市场运作2BeginningwiththeBaTrading The Futures Contract 3Acommodityfuturestraderentersintoafuturescontractbyagreeingtosellacommodityorbuyacommodityaccordingtotheprecis
20、econtractspecificationsestablishedbytheexchange.国际期货市场运作2BeginningwiththeBaTrading The Futures Contract 4nThepositionIhaveestablishedisa“short”position.nNowthatIhaveashortpositionincorn,Ihavetwoalternatives.国际期货市场运作2BeginningwiththeBaDefining MarginnIn the futures market, both parties to the transac
21、tion put up earnest money, which is called margin.nMargin usually amounts to approximately 1 percent to 5 percent of the contract value, depending upon requirements of the futures exchange. This is called initial margin.国际期货市场运作2BeginningwiththeBa Who Sets Margin Requirements and Why 1nMarginrequire
22、mentsaredeterminedbyandsetbythevariousfuturesexchanges.国际期货市场运作2BeginningwiththeBaWho Sets Margin Requirements and Why 2nIfmarginsareraisedsuddenlyandbyasubstantialamount,thisisoftenanindicationthatthegivenfuturesexchangeisconcernedaboutthehighpricelevelofamarketoraboutitsvolatility.国际期货市场运作2Beginni
23、ngwiththeBaMargin and Broker ProtectionnThe purpose of margin is to protect the broker and the brokerage house as well as the customer. 国际期货市场运作2BeginningwiththeBaMargin and Broker ProtectionnSince the broker is liable in the event that a customer cannot meet a margin call, the house must set margin
24、s high enough to minimize the risk of the broker being liable for losses.国际期货市场运作2BeginningwiththeBaWHAT IS A HEDGE ?nHedging occurs when a producer or end user takes a position in the futures market that is the opposite of his position in cash market. 国际期货市场运作2BeginningwiththeBa电解铜车间国际期货市场运作2Beginn
25、ingwiththeBa铜材加工过程 电解铜电解铜铜铜杆杆铜线铜线国际期货市场运作2BeginningwiththeBaMaking an Example for a HedgenExample: Your are a copper company, you will produce 100-ton copper three month later, so you will sell them after 3 months. Now you want to do a hedge for a protection of the 100-ton copper. 国际期货市场运作2Beginning
26、withtheBa nIn the futures market, you can sell 100 tons at 17,500 yuan pre ton in December. When the time reach December, if price decrease 100 yuan pre ton, in futures market you will get 10,000 yun (100tons100yuan) totally. Making an Example for a Hedge国际期货市场运作2BeginningwiththeBaMaking an Example
27、for a HedgenSo the factual result is you lock in the price of your copper at 17,500 yuan pre ton in December. You can gain 1,750,000 in December. You do not lose money though the price goes down.国际期货市场运作2BeginningwiththeBaHow Hedging Transfers Risk 1nWhen a hedge is placed, risk is transferred from
28、the hedger to the individual who has taken the other side of the contract.国际期货市场运作2BeginningwiththeBanCashMarketFuturesMarketn-nWheatprice$3.85 FallSellwheatfuturesat$3.90nSellwheatat3.44Next MayBuywheatfutures3.49nLoss$.41/bushelGain$.41nnNetgainorloss=0ShortHedgeinWheatFutures($/bushel)国际期货市场运作2Be
29、ginningwiththeBanShort hedgers comprise those who grow, store,process,ordistributeacashcommodity.nAChinaoilimporterwithatankerofcrudeonthehighseaswoulduseashorthedgetoprotecthiscargofromapricedecline.nAbigmillwoulduseashorthedgeforthewheatstoredinitswarehouses.Thecommondenominatorisriskoflossduetoad
30、eclineinthecashprice.ShortHedgeinWheatFutures($/bushel)国际期货市场运作2BeginningwiththeBannCashMarketFuturesMarketn-nCashcornprice$2.85NowBuycornfuturesat$2.96nBuycashcornat3.103MonthslaterSellcornfutures3.21nOpportunityloss$.25/bushelGain$.25/bushelnnNetgainorloss=0Long Hedge in Corn Futures国际期货市场运作2Begin
31、ningwiththeBaAdvantages and Disadvantages of HedgingnThe main advantage is that of locking in a price whether you are a buyer or a seller. nThe disadvantage is that when you lock in costs or profits, you may be doing so too soon and thereby limiting your profit potential.国际期货市场运作2BeginningwiththeBaE
32、ssential Elements for profitable Tradingn1. An Effective Trading System or Methodn2. Risk Management:n3. Discipline: This includes all aspects of trader psychology: self-control, persistence, positive attitude, and so on. 国际期货市场运作2BeginningwiththeBaAnEffectiveTradingSystemorMethodatradingsystemormet
33、hodologythathasademonstratedhistoryofsuccessthroughalltypesofmarketsandthatcontainsdefinitive,objectiveoperationalrules.国际期货市场运作2BeginningwiththeBan2. Risk ManagementOrdinarilythistaskispartofthetradingsystem;however,tradersoftenoverridetheirtradingsystems,sotheyneedafail-safeprocedure.国际期货市场运作2Begi
34、nningwiththeBa This includes all aspects of trader psychology: self-control, persistence, positive attitude, and so on. Discipline国际期货市场运作2BeginningwiththeBaKey TermsnLiquidate a position 清仓 nOffsets to a position 对冲头寸 nOutcry n.喊价 nEarnest money 保证金 nParty n. （交易）一方 nInitial margin最初保证金nMaintenance
35、 margin 维持保证金 nLeverage 杆杠作用（交易方式上） nMargin n. 保证金 国际期货市场运作2BeginningwiththeBaKey TermsnPost vt. 登入（总帐） nMargin call n. 追加保证金通知 nDiscretion n. 自行裁决, 任意决定权 nTo take a position 持仓 n Cash market 现货市场 nContract expiration 合同到期 nTo close out 清掉国际期货市场运作2BeginningwiththeBaQuestions for Discussionn1.What is risk transfer and why transfer it?n2. Explain the function of Margin.n3.What is a hedge? Use an example to explain it.n4. What is a long hedging?n5.What is a short hedging?国际期货市场运作2BeginningwiththeBa
