期货期权及其衍生品配套课件Ch01_图文

Introduction

Chapter 1

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

1

Size of OTC and Exchange-Traded Markets
(Figure 1.1, Page 3)

Source: Bank for International Settlements. Chart shows total principal amounts for OTC market and value of underlying assets for exchange market

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

2

Ways Derivatives are Used
To hedge risks
To speculate (take a view on the future direction of the market)
To lock in an arbitrage profit
To change the nature of a liability
To change the nature of an investment without incurring the costs of selling one portfolio and buying another

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

3

Foreign Exchange Quotes for GBP,

July 20, 2019 (See page 4)

Spot

Bid 2.0558

Offer 2.0562

1-month forward 2.0547

2.0552

3-month forward 2.0526

2.0531

6-month forward 2.0483

2.0489

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

4

Forward Price
The forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today (i.e., it is the delivery price that would make the contract worth exactly zero) The forward price may be different for contracts of different maturities

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

5

Terminology
The party that has agreed to buy has what is termed a long position
The party that has agreed to sell has what is termed a short position

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

6

Example (page 4)

On July 20, 2019 the treasurer of a corporation enters into a long forward contract to buy ?1 million in six months at an exchange rate of 2.0489
This obligates the corporation to pay $2,048,900 for ?1 million on January 20, 2019
What are the possible outcomes?

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

7

Profit from a Long Forward Position
Profit

Price of Underlying

K

at Maturity, ST

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

8

Profit from a Short Forward Position
Profit

Price of Underlying

K

at Maturity, ST

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

9

Futures Contracts (page 6)
Agreement to buy or sell an asset for a certain price at a certain time Similar to forward contract Whereas a forward contract is traded OTC, a futures contract is traded on an exchange

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

10

Exchanges Trading Futures
Chicago Board of Trade Chicago Mercantile Exchange LIFFE (London) Eurex (Europe) BM&F (Sao Paulo, Brazil) TIFFE (Tokyo) and many more (see list at end of book)

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

11

Examples of Futures Contracts
Agreement to:
Buy 100 oz. of gold US$900/oz. in December (NYMEX)
Sell ?62,500 2.0500 US$/? in March (CME)
Sell 1,000 bbl. of oil US$120/bbl. in April (NYMEX)

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

12

1. Gold: An Arbitrage Opportunity?
Suppose that:
The spot price of gold is US$900 The 1-year forward price of gold is US$1,020 The 1-year US$ interest rate is 5% per
annum
Is there an arbitrage opportunity?

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

13

2. Gold: Another Arbitrage
Opportunity?
Suppose that:
- The spot price of gold is US$900 - The 1-year forward price of gold is US$900 - The 1-year US$ interest rate is 5% per
annum
Is there an arbitrage opportunity?

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

14

The Forward Price of Gold

If the spot price of gold is S and the forward price for a contract deliverable in T years is F, then
F = S (1+r )T
where r is the 1-year (domestic currency) risk-free rate of interest.
In our examples, S = 900, T = 1, and r =0.05 so that
F = 900(1+0.05) = 945

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

15

1. Oil: An Arbitrage Opportunity?
Suppose that:
- The spot price of oil is US$95 - The quoted 1-year futures price of oil is
US$125
- The 1-year US$ interest rate is 5% per
annum
- The storage costs of oil are 2% per
annum
Is there an arbitrage opportunity?

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

16

2. Oil: Another Arbitrage
Opportunity?
Suppose that:
- The spot price of oil is US$95 - The quoted 1-year futures price of oil is
US$80
- The 1-year US$ interest rate is 5% per
annum
- The storage costs of oil are 2% per
annum
Is there an arbitrage opportunity?

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

17

Options
A call option is an option to buy a certain asset by a certain date for a certain price (the strike price) A put option is an option to sell a certain asset by a certain date for a certain price (the strike price)

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

18

American vs European Options
An American option can be exercised at any time during its life A European option can be exercised only at maturity

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

19

Intel Option Prices (Sept 12, 2019; Stock Price=19.56); See
Table 1.2 page 7; Source: CBOE
Strike Oct Jan Apr Oct Jan Apr Price Call Call Call Put Put Put 15.00 4.650 4.950 5.150 0.025 0.150 0.275
17.50 2.300 2.775 3.150 0.125 0.475 0.725
20.00 0.575 1.175 1.650 0.875 1.375 1.700
22.50 0.075 0.375 0.725 2.950 3.100 3.300
25.00 0.025 0.125 0.275 5.450 5.450 5.450

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

20

Exchanges Trading Options
Chicago Board Options Exchange American Stock Exchange Philadelphia Stock Exchange Pacific Exchange LIFFE (London) Eurex (Europe) and many more (see list at end of book)

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

21

Options vs Futures/Forwards
A futures/forward contract gives the holder the obligation to buy or sell at a certain price An option gives the holder the right to buy or sell at a certain price

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

22

Types of Traders
? Hedgers
? Speculators
? Arbitrageurs
Some of the largest trading losses in derivatives have occurred because individuals who had a mandate to be hedgers or arbitrageurs switched to being speculators (See for example Barings Bank, Business Snapshot 1.2, page 15)

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

23

Hedging Examples (pages 10-11)
A US company will pay ?10 million for imports from Britain in 3 months and decides to hedge using a long position in a forward contract An 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 to hedge by buying 10 contracts

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

24

Value of Microsoft Shares with and without Hedging (Fig 1.4, page 11)

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

25

Speculation Example
An 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 $1 What are the alternative strategies?

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

26

Arbitrage Example
A stock price is quoted as ?100 in London and $200 in New York The current exchange rate is 2.0300 What is the arbitrage opportunity?

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

27

Hedge Funds (see Business Snapshot 1.1, page 9)

Hedge funds are not subject to the same rules as mutual funds and cannot offer their securities publicly.

Mutual funds must

disclose investment policies,

makes shares redeemable at any time, limit use of leverage

take no short positions.

Hedge funds are not subject to these constraints.

Hedge funds use complex trading strategies are big users of derivatives for hedging, speculation and arbitrage

Options, Futures, and Other Derivatives, 7th International

Edition, Copyright ? John C. Hull 2019

28


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