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Table Of Contents

CHAPTER 1
INTRODUCTION TO DERIVATIVES
DERIVATIVES DEFINED
FACTORS DRIVING THE GROWTH OF DERIVATIVES
DERIVATIVE PRODUCTS
PARTICIPANTS IN THE DERIVATIVES MARKETS
ECONOMIC FUNCTION OF THE DERIVATIVE MARKET
EXCHANGE-TRADED vs. OTC DERIVATIVES MARKETS
Trading mechanism
CHAPTER 2
INTRODUCTION TO FUTURES & OPTIONS AND SWAPS
FORWARD CONTRACTS
LIMITATIONS OF FORWARD MARKETS
INTRODUCTION TO FUTURES
Table 2.1 Distinction between futures and forwards
DISTINCTION BETWEEN FUTURES AND FORWARDS CONTRACTS
FUTURES TERMINOLOGY
INTRODUCTION TO OPTIONS
OPTION TERMINOLOGY
FUTURES AND OPTIONS
INDEX DERIVATIVES
Interest Rate Swap
Basis Swap
CHAPTER 3
APPLICATIONS OF FUTURES AND OPTIONS
TRADING UNDERLYING VERSUS TRADING SINGLE STOCK FUTURES
FUTURES PAYOFFS
Payoff for buyer of futures: Long futures
Payoff for seller of futures: Short futures
PRICING FUTURES
Pricing equity index futures
Pricing index futures given expected dividend amount
Pricing index futures given expected dividend yield
PRICING STOCK FUTURES
Pricing stock futures when no dividend expected
Pricing stock futures when dividends are expected
APPLICATION OF FUTURES
Hedging: Long security, sell futures
Speculation: Bullish security, buy futures
Speculation: Bearish security, sell futures
Arbitrage: Overpriced futures: buy spot, sell futures
Arbitrage: Underpriced futures: buy futures, sell spot
OPTIONS PAYOFFS
Payoff profile of buyer of asset: Long asset
Payoff profile for seller of asset: Short asset
Payoff profile for buyer of call options: Long call
Payoff profile for writer of call options: Short call
Payoff profile for buyer of put options: Long put
Payoff profile for writer of put options: Short put
PRICING OPTIONS
APPLICATION OF OPTIONS
Hedging: Have underlying buy puts
Speculation: Bullish security, buy calls or sell puts
Speculation: Bearish security, sell calls or buy puts
Bull spreads - Buy a call and sell another
Bear spreads - sell a call and buy another
THE GREEKS
Delta ()
Gamma ()
Theta ()
Vega
CHAPTER 4
TRADING
FUTURES AND OPTIONS TRADING SYSTEM
Entities in the trading system
Basis of trading
Corporate hierarchy
Order types and conditions
THE TRADER WORKSTATION
The market watch window
• Market watch window
Inquiry window
Placing orders on the trading system
Market spread/combination order entry
Basket trading
FUTURES AND OPTIONS MARKET INSTRUMENTS
Contract specifications for index futures
Contract specification for index options
Contract specifications for stock futures
Contract specifications for stock options
CRITERIA FOR STOCKS AND INDEX ELIGIBILITY FOR TRADING
Eligibility criteria of stocks
Eligibility criteria of indices
CHARGES
CHAPTER 5
CLEARING AND SETTLEMENT
CLEARING ENTITIES
Clearing members
Clearing banks
CLEARING MECHANISM
Settlement of futures contracts
Settlement of options contracts
ADJUSTMENTS FOR CORPORATE ACTIONS
RISK MANAGEMENT
NSCCL-SPAN
Types of margins
MARGINING SYSTEM
SPAN approach of computing initial margins
Mechanics of SPAN
Overall portfolio margin requirement
Forms of collateral’s acceptable at NSCCL
Requirements to become F&O segment member
Requirements to become authorized / approved user
Position limits
Reporting of client margin
CHAPTER 6
ACCOUNTING FOR DERIVATIVES
Accounting for futures
Accounting for options
TAXATION OF DERIVATIVE TRANSACTION IN SECURITIES
Taxation of Profit/Loss on derivative transaction in securities
Securities transaction tax on derivatives transactions
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Derivatives

Derivatives

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Published by Mayank Agrawal

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Published by: Mayank Agrawal on Apr 26, 2011
Copyright:Attribution Non-commercial

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11/26/2011

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