1.

:
1.1

(, futures contract)

. (long position)
, (short position)
. ( )
(net supply),
.
(zero sum game), ,
, .
(, forward contract) ,
:
().

. ( ), ,
. ,
.
().

()

. ()
() (
, offsetting). , , ,
, .
().

.
, ,
(exchange clearinghouse),
, ,

, .2533/1997,
(.....)
(...).
().

(cash
settlement). ,
1

(over-the-counter OTC)
. - (OTC)
( ) dealers,
.
1.2
(underlying asset)
(Delivery type):

(trading unit):
( ),
( ) ..
(expiration date)
(series)

(trading hours)
(settlement date): ,
+1
(Last trading date):

(final settlement
date)
(exchange settlement
price):

(size multiplier):
.
.. FTSE/ASE-20
5
/.

1.3

. , :
Month

Open

High

Low

Settle

Change

Lifetime
High

Lifetime
Low

Open
Interest

+
+
+
+
+
+
+
+

301
2291/2
305
299
312
280
2911/2
2791/2

2061/4
216
228
2351/4
2403/4
2451/2
2451/4
255

65,047
164,834
44,019
15,072
19,932
2,845
8,141
197

CORN (CBT) 5,000 bu; cents per bu.

Sept
Dec
Mr99
May
July
Sept
Dec
Dec00

208
21813/4
230
2371/2
244
246
2511/2
260

2091/2
2193/4
231
238
244
2473/4
2523/4
262

2061/4
216
228
2351/4
241
246
2501/2
260

2083/4
2191/4
2303/4
238
2433/4
2473/4
2523/4
262

Est vol 35,000 ; vol Mon 43,473 ; open int 320,087, -3.026
: The Wall Street Journal, August 19, 1998, p.C18 (Futures Prices).

, Chicago
Board of Trade 18 1998 ().
5,000 bussel ( 35,238 ) ,
bussel.

 1998, , , , 1999
2000.
(open)
. , 98 208 ( $
2.08) bussel. , $2.08 * 5,000 bu.
= $10,400. ,
. , (settlement price),
,
.
. ,
.
1998
, , ,
.
(open interest),
. , 65,047
1998, 65,047 long 65,047 short.
,
.
(est vol), -
(vol Mon), .
.
traders
.
1.6
(, options),
,

. , (-, call option)
(-, put option).

.
.
3

 (exercise price, strike price)

(expiration date, exercise
date, maturity). (European option)
. , (American option)
.
, (buyer of a call option)
, (price of the option),

.
4
: call, put, call, put.
long positions
short positions. , writing the option.
1.4
( , ,
..)
,
.
(hedgers)-
-
(speculators)-
, (arbitrageurs)-

.
scalpers, day traders position traders.
scalpers (
)
( pit).
scalpers
(, ticks) ,
( $1 $25-80
floor ).
scalper 2,500 (
4

 70-100 ) ,
. day traders ,
overnight. ,
position traders
, ,
( ) . position traders
out-right position traders spread position traders,
.
,

, pit. ,
, (commission
brokers) locals.
. ,
, (market
makers), floor brokers order book officials (
,
).

( ),
(bid price) (ask
price). bid-offer spread,
.
2.

;
= .
= .
:
().

(expectations hypothesis model).

().

(cost-of-carry

model in perfect markets). .

(arbitrage). ,
(perfect market).

.
().

(spot market) .
F0,t E0 ( St )

(1)

F0,t t=0
t, S 0 E0 ( S t )
t=0 t.
(1) , .
(margin requirement)
(long position) F0,t
(delivery date), St
. ,
F0,t E0 ( St ) ,
.
(short position).
(1) :
(1). .
(2). (risk aversion)

hedgers,

speculators).
,
, .
6


, :
.

(the theory of normal backwardation),

J.M.Keynes J.Hicks.
.

(Capital Asset Pricing Model, CAPM). .

.
J.M.Keynes ,
. Keynes
Hicks
(net short position). ,
( ) ,

(, ), . ,
, ,


. ,
.
, ,
,
premium
.
, ,
,
.
,
, , , ,
,
.
,
, .

 (contango). ,
,
( ) ,
. (net
hedging hypothesis).

:
(
),
. ,
.
...,
. ...,

. , ...
,
, .
,

... ,

.
.
, :
F = S * er*T/360
S (spot price), F
..., r
( 360 ).

... :
f = S-X*e-r*T/360
. ,
... S

 , X*e-r*T/360 ,
, (
) .
...
, F
f , (2) F=X f=0 F = S * er*T/360.
... ,
, .

.
. , d
,
F = S * e(r-d)*T/360
: FTSE/ASE-20,
90 . 1500 ,
r = 4,5% d = 2%
. , 2, :
F = S * e(r-d)*T/360 = 1500*e(0.045 0.02)*90/360 = 1509,40
, ,
.
d
.
( I)
F = (S )* er*T/360.
... , d
.

... , ,
.
...,
(reference value).

 ... .
() ,
. ... .
.
, ,
. (
...
futures premium) (
... futures discount).
, .

.

3.

...

.
() ()
( ).
.

- (P/L Diagrams).
.
,
.
.
... FTSE/ASE-20 (
5).
.

10

 ... (Long Position)

...
.
: ,
.
.
:
.
:
. ...
.
: .
3 : 1
...

...

200
100
P/L

1200 .

400
300

0
-100
-200

1300
900

1000

1100

1200

1400

1500

1300 1200 =

-300
-400

100 500 (= 100

1300

5) .
FTSE/ASE20 1000

1300 1000 = 300 1.500 (= 300 5) .

1200
6.000 .

11

 ... (Short Position)

...
-
.
: ,
.
.
: ,

.
:
.
:

P/L

...
400
300
200
100
0
-100
-200
-300
-400

.
4: 2
900

1000

1100

1200

1300

1400

1500

...

1200

1300 1300 1200 = 100 500

(= 100 5) . FTSE/ASE-20
1000 1300 1000 = 300 1.500
(= 300 5) . 1.200 6.000
.

...

. 10 ...

12

 , 10
, .
, .....
.

,
. ,
( ),

. ()
... ( ),
-
.

3.1
,

, .

( ),
:
( market risk) :
, ,
, , .

.
(Non systematic risk) :
.
.
,
,
13

 ;
,
. ,
.

(beta coefficient)

.
, ( ),
. ,
,
.
,
,
.

.

.

.
. 17 0,6.
10%, 6% (=10%
0,6). 18,02 .
10%,
6% 15,98 .
.

Beta
0,7
1,2
1,5

10.000
8.000
2.000

3
5
12,5

30.000
40.000
25.000
95.000

:
14

30.000
40,000
25,000
0,7 +
1,2 +
1,5 = 1,1211
95.000
95,000
95,000

3.2

FTSE/ASE-20
.
.


. , ,
,
.

FTSE/ASE-20.

# futures =

beta
( )

(5)

,
,
( ... )
. 500.000
FTSE/ASE-20 (
1). 1.230 ...
1.250 .

, (Hedge
Ratio) .

# ,
25% #/4 .
100% 50%

15

 ,
beta.

, .
beta ...
1. .
...
beta .
:
1 : beta ...
(5) :
# futures =

beta

( )
beta...

(6)
, ( beta
1,5) beta ... 1,2, ,
(6), ...
100 [=(5000001,5)/(125051,2)].
10% 1.107 ,
... 12% 1.100
15% 75.000 . ...
1250-1100=150 750
75.000 , .
.
2 : beta
.
(5), beta beta
... .1
1

beta
(market model, Rit=+tRmt+t) Rit t, Rmt
, b beta, t
0 1. ,
, ...
(linear regression), ,
beta.

16

 2.
... 160 [=500000/(12505)2].
... 15% 1437,5 ,
30% 150.000 .
... 1437.5-1250=187,5 937,5
150.000 ,
.
:
...
beta
.
4.
.
, (forward contracts),
,
, .
i.

,
: , ,
,
(default risk)-
(lack of a
clearinghouse). , (mark to
market settlement) , .
,
< > < >,
, , . ,

17

 , <
> , ,
,
.
,

. , , . ,
, :
,
. , ,
.
ii.

, .
, ,
(
, ).

. , ,
,
. ,
,
, .
,
Paul Samuelson (1965), ,
.
Samuelson,

, .
martingale-

18

 ,
. ,
.
, ,
.
5. (stock index futures)
1982 Kansas City
Board of Trade (KCBT) Value Line ,
(CME) S&P 500.
.
, ,

4 . , (
FTSE/ASE-20) 1.22. ,
,
.
. ,
. ,
( )
,
.
FTSE/ASE-20 ,
, ,
. :
V
N = P
VF

(10)

V P , V F

19

 FTSE/ASE-20 1400 (
5). , (10)
697.14 .

(.., =1.22
1=0.8), :
V
N = P
VF

1
( P P )

1
P

(11)

- ,

= 240 ( - )
FTSE/ASE-20.
, ,

(risk-minimizing hedge ratio),
, `RM

. , (10) P `RM .
6. (options contracts)
.
:

S
St

C
P
rf
Tt
T

/
t

Call (Call Premium)
Put (Put Premium)

option
option

.
,

20

: option ()
option T t
.
:
/ /

. ,

.

.

. ...
100 .
(Maturity)
.

.
,
.
,
.
/ (Strike / Exercise Price)


. ,
(Premium)

,
.

21

 . ,
.
Call Option
(call option)
(expiration date)
(strike price), (premium).

(contract size) premium (call or option premium).
,
, () ( )
premium.

(St)

(), call option

C
X

St

-C

(strike price)

St

St X.
3

premium .
,
,
premium ( ).
call option premium
St X,
premium ( 3).
call
[St X, 0] Call.
call
premium.
premium premium.
22


premium.
. call option
10 (
10 ) .
premium 1,2 . 13 ,
, 3
premium 1,8 2.
8 ,
premium 1,2 .
Put Option
,
, () ( )
premium.
put ,

Pt

X St ,
premium,

-P

St P.
(
St > X )
(

) premium .
.

premium / premium
r .
.

23

 call, put 3
.
premium.

premium .
put 4.
10: put brent,
1.000 3
$31,00 .
$3 .
, $25 , 1000 (31 25) =
$6.000. premium (=1000 3 = $3.000),
$3.000.
$36,
$3.000 .
. (.. ) S t = 78
call option contract = 100
(exercise or strike price) = 80
(call premium) C t = 3
(premium paid) = 100*3 = 300
, 3 , =t+3 : S = 88
( S X ) *100 = (88 80) *100 = 800
call premium ( ST X Ct ) *100 = (8 3) *100 = 500
, , ST > X .
.
/
S T = 82.
[. -100].

0,
St = 0 .
.

24

 put option
.
(.. ) S t = 78
call option contract = 100
(exercise or strike price) = 70
(put premium) Pt = 2
(premium paid) = 100*2 = 200
, 3 , =t+3 : S = 65
( S X ) *100 = (70 65) *100 = 500
call premium ( ST X Pt ) *100 = (5 2) *100 = 300
, , ST < X .
4 :

1. Long in a call option

2. Long in a put option
3. Short in a call option
4. Short in a put option

/
max(ST X ,0)
max( X ST ,0)
min( X ST ,0)
min( ST X ,0)

1.
,
. ,
,

.
(, premium)
(intrinsic value) (time value).

.

(, ), ,
,

25

 (risk-free rate). ,
:
Ct or Pt = f ( S , X , T , , rf )
.

rf

European Call
+
?
+
+

European Put
+
?
+
-

American Call
+
+
+
+

American Put
+
+
+
-

+
.
? .
, (inthe-money)
.
.
(at-the-money),
. ,
(out-of the- money)
.
,
(in-the-money)
.
.
(at-the-money),
. ,
(out-of the- money)
.

26