Futures and Options on Foreign Exchange 外匯期貨和期權

Chapter 7
© 2021 McGraw Hill. All rights reserved. Authorized only for instructor use in the classroom. No
reproduction or further distribution permitted without the prior written consent of McGraw Hill. 
 Futures Contracts: Preliminaries 期貨合約：初步 1

Both forward and futures contracts are derivative or contingent

claim securities because their values are derived from or contingent
upon the value of the underlying security 遠期合約和期貨合約都是衍
生或或有債權證券，因為它們的價值來自或取決於標的證券的價值
Forward contract 遠期合約
• Tailor-made for a client by their international bank. 由其國際銀行為
客戶量身定製。
Futures contract 期貨交易合同
• Standardized features (for example, contract size, maturity date,
delivery months). 標準化功能（例如，合約大小、到期日、交貨月
份）。
• Exchange traded. 交易所交易。
© McGraw Hill 7
 Futures Contracts: Preliminaries 期貨合約：初步 2

An initial performance bond (formerly called margin) must be deposited

into a collateral account to establish a futures position 初始履約保證金（以前
稱為保證金）必須存入抵押品帳戶以建立期貨頭寸
• Generally equal to 2% of contract value. 通常等於合約價值的 2% 。
• Cash or T-bills may be used to meet requirement. 現金或國庫券可用於滿足
要求
Major difference between forward contract and futures contract is the way the
underlying asset is priced for future purchase or sale 遠期合約和期貨合約之
間的主要區別在於標的資產為未來購買或出售定價的方式
• Forward contract states a price for the future transaction, but futures
contract is settled-up, or marked-to-market, daily at the settlement
price. 遠期合約規定了未來交易的價格，但期貨合約每天以結算價結算或按
市價計價。
© McGraw Hill 7
Daily Resettlement 每日重新安置
With futures contracts, we have daily resettlement of gains and
losses rather than one big settlement at maturity. 對於期貨合約，
我們每天都有收益和損失的重新安置，而不是在到期時進行
一次大的結算。
Every trading day: 每個交易日：
• If the price goes down, the long pays the short. 如果價格下跌，多頭支付
空頭。
• If the price goes up, the short pays the long. 如果價格上漲，空頭支付多
頭。
After the daily resettlement, each party has a new contract at the
new price with one-day-shorter maturity. 每日安置后，每一方
都有一份新價格的新合同，期限縮短一天。
© McGraw Hill 7
 Daily Resettlement: An Example 每日重新安置：一個例子

Consider a long position in a Chicago Mercantile Exchange (CME) British

pound futures contract. 考慮芝加哥商品交易所（ CME ）英鎊期貨合約的
多頭頭寸。
It is written on £62,500 and price is quoted in $ per £. 它寫在 62 ， 500 英鎊
上，價格以每英鎊的美元報價。
We long the futures contract at a price of $1.3000 per £. 我們以每英鎊
1.3000 美元的價格做多期貨合約。
At initiation of the contract, the long posts an initial performance bond of
$1,625. 在合同開始時，多頭公佈了 1 625 美元的初步履約保證金。
The maintenance performance bond is $1,300. 維修履約保證金為 1 300 美元。

© McGraw Hill 7
 Performance Bond Money 履約保證金
Each day’s losses are subtracted from the investor’s account. 每天的損失從投
資者的帳戶中扣除。
Each day’s gains are added to the account. 每天的收益都會添加到帳戶中。
In this example, at initiation the long posts an initial performance bond of
$1,625. 在這個例子中，在開始時，多頭的股票初始履約保證金為
1 ， 625 美元。
The maintenance level is $1,300. 維持原有活動水準為 1 300 美元。
• If this investor loses more than $325 ($1625 - $1300), he has a decision to make; he
can maintain his long position only by adding more funds, and if he fails to do so
his position will be closed out with an offsetting short position. 如果該投資者損失
超過 325 美元（ 1625 美元 - 1300 美元），他必須做出決定 ; 他只能通過增
加更多的資金來維持他的多頭頭寸，如果他不這樣做，他的頭寸將被抵消的
空頭頭寸平倉。

© McGraw Hill 7
 Daily Resettlement: first 3 days 每日安置：前 3 天

Over the first 3 days, the pound strengthens then depreciates in dollar
terms: 在前 3 天，英鎊走強，然後以美元計價貶值：

Settle Gain/Loss Account Balance

$1.3010 $62.50 $1,687.50

$1.2980 –$187.50 $1,500
$1.2948 –$200.00 $1,300
On day three we receive a margin call, having lost $325. 在第
三天，我們收到追加保證金通知，損失了 325 美元
Copyright © 2018 by the McGraw-Hill Companies, Inc. All rights reserved. 7-7
 Toting Up 扛起
At the end of this adventure, we have three ways of computing
gains and losses: 在這次冒險結束時，我們有三種計算收益和
損失的方法：
1. Sum of daily gains and losses. 每日收益和損失的總和
– $325 = $62.50 – $187.50 – $200
2. Contract size times the difference between initial contract price and last
settlement price. 合約大小乘以初始合約價格和最後結算價格之間的
差額。
– $325 = ($1.2948/£ – $1.3000/£) × £62,500
3. Ending balance on the account minus beginning balance on the account,
adjusted for deposits or withdrawals. 帳戶期末餘額減去帳戶期初餘額，
根據存款或取款進行調整。
– $325 = $1,300 – $1,625

© McGraw Hill 7
 Exercise
On Monday morning, you short one yen futures contract containing ¥12,500,000 at a
price of $0.009433. Suppose the broker requires a performance bond of $4,590 and a
maintenance performance bond of $3,400. The settlement prices for Monday through
Thursday are $0.009542, $0.009581, $0.009375, $0.009369, respectively. On Friday,
you close out the contract at a price of $0.009394. Calculate the daily cash flows on
your account. Describe any performance bond calls on your account. What is your cash
balance with your broker as of the close of business on Friday? Assume that you begin
with an initial balance of $4,590 and that your round trip commission was $37.
週一早上，您以 0.009433 美元的價格做空一份包含 12 ， 500 ， 000 日元的期貨
合約。 假設經紀人要求 4 ， 590 美元的履約保證金和 3 ， 400 美元的維護履約
保證金。週一至週四的結算價分別為 0.009542 美元、 0.009581 美元、 0.009375
美元和 0.009369 美元。週五，您以 0.009394 美元的價格平倉合約。 計算您帳戶
上的每日現金流。描述您帳戶上的任何履約保證金調用。截至週五營業結束時，
您與經紀人的現金餘額是多少？假設您從初始餘額 4 ， 590 美元開始，您的往
返傭金為 37 美元。

© McGraw Hill 7
Differences between Futures and Forward Contract 期貨和遠
期合約的區別
Trading Location 交易地點
Futures: Traded competitively on organized exchanges. 期貨：在有組織的交易所進行競爭易
Forward: Traded by bank dealers via a network of telephones and computerized dealing systems. 遠期：由銀行交易商通
過電話網路和計算機化交易系統進行交易。

Contractual Size 合同規模

Futures: Standardized amount of the underlying asset. 期貨：標的資產的標準化金額。
Forward: Tailor-made to the needs of the participant. 前進：根據參與者的需求量身定製。

Settlement 殖民地
Futures: Daily settlement, or marking-to-market, done by the futures clearinghouse through the participant's performance
bond account. 期貨：期貨結算所通過參與者的履約保證金帳戶完成的每日結算或按市價計價。
Forward: Participant buys or sells the contractual amount of the underlying asset from the bank at maturity at the forward
(contractual) price. 遠期：參與者在到期時以遠期（合同）價格從銀行買入或賣出標的資產的合同金額。

Expiration Date 有效期

Futures: Standardized delivery dates. 期貨：標準化交割日期。
Forward: Tailor-made delivery date that meets the needs of the investor. 遠期：量身定製的交貨日期，滿足投資者的需
求。

Delivery 交貨
Futures: Delivery of the underlying asset is seldom made. Usually a reversing trade is transacted to exit the market. 期
貨：很少交割標的資產。通常，反轉交易是為了退出市場。
Forward: Delivery of the underlying asset is commonly made. 遠期：通常交付標的資產。

Trading Costs 交易成本

Futures: Bid-ask spread plus broker’s commission. 期貨：買賣差價加上經紀人傭金。
Forward: Bid-ask spread plus indirect bank charges via compensating balance requirements. 遠期：買賣差價加上通過補
償餘額要求的間接銀行費用。

© McGraw Hill 7-1

 Option Contracts: Some Preliminaries 期權合約：一些初步準備

An option is a contract giving the owner the right, but not the obligation, to buy or sell a
given quantity of an asset at a specified price at some time in the future 期權是一種合約，賦
予擁有者在未來某個時候以指定價格購買或出售給定數量的資產的權利，但沒有義務
• Option to buy is a call, and option to sell is a put. 買入期權是看漲期權，賣出期權是看跌
期權。
• Buying or selling the underlying asset via the option is known as “exercising” the option.
通過期權購買或出售標的資產被稱為“行使”期權。
• Stated price paid or received is known as the exercise or striking price. 支付或收到的聲
明價格稱為行使或執行價格。
• Buyer of an option is often referred to as the long, and the seller of an option is referred to
as the writer (or the short). 期權的買方通常被稱為多頭，期權的賣方被稱為賣出者（或空
頭）。
• European option can be exercised only at maturity or expiration date of contract, but
American option can be exercised any time during contract. 歐洲期權只能在合約到期日
或到期日行使，但美國期權可以在合約期間的任何時間行使。

© McGraw Hill 7-1

 Currency Option Markets 貨幣期權市場
Prior to 1982, all currency option contracts were OTC options written by
international banks, investment banks, and brokerage houses 在 19 82 之前，
所有貨幣期權合約都是由國際銀行、投資銀行和經紀公司承銷的 O T C 期權。
• OTC options are tailor-made and generally for large amounts (that is, at
least $1M of currency serving as underlying assets). O T C 期權是量身定製
的，通常用於大額（即至少 100 萬美元的貨幣作為標的資產）。
• OTC options are typically European style, and they are often written for
U.S. dollars, with the euro, British pound, Japanese yen, Canadian dollar,
and Swiss franc serving as the underlying currency. O T C 期權通常是歐洲
風格，它們通常以美元書寫，歐元，英鎊，日元，加拿大元和瑞士法郎作為
基礎貨幣。
In December 1982, the Philadelphia Stock Exchange (PHLX) began trading
options on foreign currency19 年 12 月 82 日，費城證券交易所（ P H L X ）開
始交易外幣期權
© McGraw Hill 7-1
Basic Option-Pricing Relationships at Expiration
到期時的基本期權 - 定價關係 2

Call (put) option with ST > E (E > ST) expires in-the-money

ST >E （ E >ST ）的看漲（看跌期權）在價內到期

• It will be exercised because the buyer will make money. 它將得到行使，因為
買方將賺錢。
If ST = E, the option expires at-the-money 如果 ST = E ，則期權在價內到期
• It will not be exercised because no money will be made by doing so. 它不會
被行使，因為這樣做不會賺到錢。
If ST < E (E < ST), the call (put) option expires out-of-the-money 如果 ST < E
（ E < ST ），則看漲（看跌）期權在價外過期
• It will not be exercised because the buyer would lose money by doing so and
is under no obligation to exercise the option. 它不會被行使，因為買方這樣做
會賠錢，並且沒有義務行使期權。

© McGraw Hill 7-1

 Basic Call Option Profit Profiles 基本看漲期權利潤概況
l l
ca
Profit 1
n g
Lo
If the call is in-the-money, it
is worth ST – E. 如果看漲期
權是價內，則值得 ST – E 。
If the call is out-of-the-
money, it is worthless, and
the buyer of the call loses
his entire investment of c0.
如果看漲期權是價外的，它
就毫無價值，看漲期權的買
方將失去他的全部投資
c0 。 ST
–c0

Sh
 a call option on €10,000.

E + c0

or
€10 ， 000 的看漲期權。

t1
 option premium is $0.25
per € 期權費為每 $ 0.25 E

ca
美元

ll
 The exercise price is
$1.50 per € 鍛煉價格為每

Loss Out-of-the-money In-the-money

€ 1.50 美元 Out-of-the-money In-the-money
Copyright © 2018 by the McGraw-Hill Companies, Inc. All rights reserved. 7-14
 Basic Put Option Profit Profiles 基本看跌期權利潤概況
Profit
If the put is in-the-money, it is
worth E – ST. The maximum
gain is E – p0. 如果看跌期權是
價內，則值得 E – ST 。最大增 E – p0
益為 E – p0 。
If the put is out-of-the-money,
it is worthless, and the buyer
of the put loses his entire
investment of p0. 如果看跌期權
是價外的，它就毫無價值，看
跌期權的買方將失去他的全部 Short 1 put
p0 投資。
 a put option on €10,000.
10 ， 000 歐元的看跌期權。
– p0 ST
Long 1 put
 option premium is $0.15
per €. 期權費為每歐元 0.15
美元。
 The exercise price is $1.50
E – p0
per euro. 行使價為每歐元
1.50 美元。
E
In-the-money
In-the-money Out-of-the-money
Out-of-the-money
Loss
Copyright © 2018 by the McGraw-Hill Companies, Inc. All rights reserved. 7-15
 Exercise
A speculator is considering the purchase of five three-month Japanese yen call
options (JPY1,000,000 per contract) with a striking price of 96 cents per 100 yen.
The premium is 1.35 cents per 100 yen. The spot price is 95.28 cents per 100 yen
and the 90-day forward rate is 95.71 cents. The speculator believes the yen will
appreciate to $1.00 per 100 yen over the next three months. As the speculator’s
assistant, you have been asked to prepare the following: 一位投機者正在考慮購
買五種為期三個月的日元看漲期權（每份合約 1 ， 000 ， 000 日元），價格為每
100 日元 96 美分。溢價為每 100 日元 1.35 美分。現貨價格為每 100 日元 95.28 美
分， 90 天遠期匯率為 95.71 美分。投機者認為，日元將在未來三個月內升值至每
100 日元 1.00 美元。作為投機者的助手，您被要求準備以下內容：
1. Graph the call option cash flow schedule. 繪製看漲期權現金流計劃圖表。
2. Determine the speculator’s profit if the yen appreciates to $1.00/100 yen. 如
果日元升值至 1.00 美元 /100 日元，則確定投機者的利潤。
3. Determine the speculator’s profit if the yen appreciates only to the forward
rate. 如果日元僅升值到遠期匯率，則確定投機者的利潤。
4. Determine the future spot price at which the speculator will only break
even. 確定投機者只會收支平衡的未來現貨價格。
© McGraw Hill 7-1