For a long time, Chinastock marketprofit model Single, investors buy stocks onlyStock priceRise, investors can make money.The lack of short selling mechanism also makes the domestic stock market manipulation prevalent. Makers and some large institutions use their own funds andInformation advantages, driving up the stock price makes the stock price deviate from its normal value range for a long time, which will lead to the accumulation of systematic risk in the stock market, and increaseStock investorsRisks faced.Stock index futuresEnriching investorsPortfolioAt the same time, it also prevents the accumulation of systematic risks. Stock index futures provide an internal balance mechanism to promoteshare indexFluctuate within a more reasonable range.
Stock index futuresSince the listing, the consistency of future and current index fluctuations and mature closing position ratio fully reflectMature marketProperties of.Investor account openingParticipation rateFrom 50% at the beginning to 89% at present, the target indexVolatilityThe month on month decline of was a record high. During this period, all contracts operated smoothly, and the due delivery date effect never occurred. All kinds of phenomena indicate that the domestic financial futures market is developing steadily.
Stock index futures
along withstock market indexfuturesMarket Trading RulesInformation technology system, employee training and other details are gradually mature and improved, and the regulatory authorities are expected to relax the restrictions on participation in stock index futures in the future, similar toPublic offering fund、Trust financial products、Sunshine Private Placementetc.institutional investorIn the futureStock index futuresIn hedging and arbitrage transactions.Compared with international mature markets, the participation rate of institutional investors in domestic stock index futures is still very low.According to the data of China Financial Exchange, institutional investors account for only 3% of the investor structure of stock index futures.The United StatesCMEInstitutional legal personhedging transactions It accounts for 61.3% of the total trading volume of stock index futures and is not a hedgeLarge amount transactionAccounted for 7.5%, and small traders accounted for 20.6%,Spread Trading Accounting for 8.8%.With the deepening of investors' understanding of stock index futures, the size of future index positions and transactions will continue to expand on a stable basis. Stock index futures hedge risks, stabilize the market, and promotePrice discoveryAnd other functions will be better reflected.
Small and medium-sized index contracts
becauseCSI 300 IndexConstituent stockChina Financial Real Estate and other large market capitalization stocks account for half of the country, so stock index futures have played an effective role in the overall index since its listingStabilization,market index The annualized volatility of.However, inSmall diskShares andGEMThe volatility of is still very intense, and bubbles are growing rapidly. The bursting of bubbles in the future will inevitably cause the market to rise and fall, which has a negative effect on the stable development of the economy that cannot be ignored.At the same time, GEM andSmall and medium-sized boardThe scale and speed of the issuance ofeconomic transition The performance of traditional industries and listed companies will tend to be stable under the opportunity of the SME Board and GEM, and the influence of new forces represented by the SME Board and GEM on China's future financial market cannot be underestimated.according tointernational marketExperience, usually in the launchLarge cap stocksSubjectindex futures After the contract, the small and medium-sized target and industry index futures contracts are launched, which can achieve good resultsComplementary effect, can improve eachEquity Index Futures Activity.Of course, the current SME board and GEMMarket capacityNot big. The spot market is easy to be manipulatedSME Board IndexorGEM IndexThe introduction of stock index futures is easy to cause manipulation risks.Therefore, in terms of subject matter, contract sizeTrading rulesFlexibility and other issues related to contract design need to be further improved.
Interest rate futures
FromThe 12th Five Year PlanIt can be seen that the government is increasingbond marketAttach importance to development and strive to build a bond with complete product series, complete functions and considerable scaleMarket system。In order to achieve this goal, government departments will actively cooperate to reduce administrative control and encouragefinancial systemAnd tool innovation, and willinformation disclosure、credit rating, accounting, taxation, etc.At present, China's futures and bond markets are in a critical period of transformation from quantitative expansion to qualitative improvementPolicy environmentThe conditions for carrying out interest rate futures trading are gradually forming.
first,Interest rate futuresIt can hedge systematic risks and maintain social and economic stability.Prophase causeEurope and AmericaThe overflow of national liquidity has led to the rapid rise of global inflationEmerging economiesCause great damage, and governments of all countries have repeatedly raised thebenchmark interest rateAnd other monetary means to deal with inflationInterest rate fluctuationThe increase is obvious, causing both lenders and borrowers to face greatInterest rate risk, for enterprisesCapital chainA lot of pressure is formed.staydomestic marketThe timely launch of interest rate futures can help the majority of institutions andThe publicProvide a tool to avoid interest rate risk, which can help enterprises to operate stably and improveRisk resistanceIt plays a huge role in promoting.
Secondly, the hedging function of interest rate futures can improve the activity of the bond market.Domestic bond marketThe investor structure is not reasonable enough,State-owned commercial bank And insurance companies hold most of the national debt and inter-bank bonds, which forms a certainIndustrial monopoly。In the absence of effective hedging tools, these institutional investors prefer to adopt the long-term holding strategy, so it is difficult to reach a deal when the market changes, resulting in the entire bond marketmobilityPoor.The introduction of interest rate futures can greatly improve this situation. Because the futures market adopts margin trading and introduces short selling mechanism, on the one hand, it enables existing investors to actively avoid risks when interest rates change, rather than adopting passive holding strategies;On the other hand, it can also attract more investors and speculators to enter the bond market, change the uneven distribution of investors in the bond spot market, expand bond demand, and improveBond liquidity, promoteTerm structure of interest rateThe bond market will continue to develop and mature.
Again,Interest rate futuresWill driveInterest rate marketizationAchieve the goal as soon as possible.The spot trading mode determines the following limitations of China's treasury bond trading: Firsttransaction cost Compared with futures, the market's response to interest rates is not as sensitive as futures;Second, due to the spotmarket segmentation The treasury bond yield formed lacks authority and guidance;Third, the yield formed by spot transactions can only reflect the interest rate of different periods at the time point, and cannot reflect the interest rate of different periods at the future time pointInterest rate levelIt is difficult to form a complete market with reasonable predictionInterest rate system。If there is a centralized transactionTreasury bond futuresMarket, the yield formed in the transaction process isMarket interest rateAnd promote the spot market to form a unified benchmark market interest rate through arbitrage activities between futures and spot, and gradually form a completeTreasury bond yieldSystem, providing importantYield curveSignal, play a corresponding role in the process of interest rate marketization, and at the same time give the country a judgment on the financial situation andFinancial macro-controlProvide basis.
Finally, interest rate futures can also be effectively reducedGovernment macro-controlCost of.The forward-looking performance of interest rate futures price trend is the central bankmonetary policyThe operation and decision-making provide basis and reference, and the interest rate futuressusceptibilityAnd extensibility can be shortenedcentral bankInfluence through financial marketMacroeconomyRunning distance, which helps to improvemarket overtOperation effect of.
The pace of domestic financial innovation is faster than that of traditional financial innovation. The innovation of private version of financial futures innovation comes from behind. The innovation of private financial futures is mainly concentrated in the speculative trader market, with the focus on internal trading.
The innovative varieties mainly includeAllocation of stock index futuresandTreasury bond futuresCapital allocation, that is, the day speculators realize the newbondThe trading mode is enlarged again on the basis of the original leverageLeveraged transactions, through the margin toolfinancial marketTrading varieties are again leveraged, and risks and returns are again leveraged.The allocation ratio of financial futures in the market is 1-10Speculative traders can choose the appropriate proportion according to their trading technology and investment trading mode.
Main varieties
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There are three types of financial futures:currency futureInterest rate futures and index futures.The varieties listed on each exchange mainly include:
Main trading venues: Chicago Mercantile Exchange International Monetary Market Branch, China and the United StatesCommodity Exchange、PhiladelphiaFutures exchanges, etc.
Main trading places: Chicago Futures Exchange, Chicago Mercantile Exchange, New York Stock Exchange, Kansas City Futures Exchange.
Product knowledge
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definition
financial futures
The so-called financial futures refer tofinancial instrumentsAsSubject matterFutures contracts.Financial futures tradingIt means that the traderexchangeadoptOpen outcry Transaction by means of a promise to buy or sell a certain amount of certain products at a predetermined price on a specific date or period in the futureFinancial productsOftransaction mode。Financial futures trading has the general characteristics of futures trading, butcommodity futures In contrast, the subject matter of the contract is not a physical commodity, but a financial commodity, such as foreign exchange, bondsshare indexEtc.
The price of basic financial products is mainly expressed in the form of exchange rate, interest rate, etc.financial marketA variety of complex financial products together constitute the source of financial risk.All kinds of financial institutions have created objective requirements to avoid financial risks while innovating financial instruments.Early 1970sforeign exchange marketThe collapse of the upper fixed exchange rate system has increased financial risks unprecedentedly and directly triggered the emergence of financial futures.
historical background
In July 1944, 44 countries in the United StatesNew HampshireThe Bretton Woods conference establishedBretton Woods system, implement the fixed exchange rate system of double pegs, namelyThe dollar is directly linked to gold, currencies of other countries anddollarPress FixedPrice comparisona hook.The establishment of the Bretton Woods system has played an important role in the economic recovery and growth of Western European countries and the development of international trade after the war.At the same time, under the fixed exchange rate systemExchange rate fluctuationsLimited to a very limited range（Currency parity± 1% of),Foreign exchange riskAlmost ignored by people, rightForeign exchange risk managementOf course, the demand is not large.
financial futures
In the 1950s, especially after the 1960s, with the economic revival of Western European countries, their holdings of dollars increased day by dayHome CurrencyIt also tends to be firm, while the United States hasVietnam?Launch war, and a huge amount of money has been generated year after yeartrade deficit，Balance of paymentsThe situation continues to deteriorate and inflation remains high, resulting in frequent gold outflows and selling of dollarsDollar crisis。
The United States announced the implementation on August 15, 1971 when the gold reserves of the United States were largely lost and the status of the dollar was in jeopardy“new economic policy”And stop fulfilling the obligation to exchange US dollars for gold.In order to save the fixed exchange rate system from collapse, at the end of December of the same year,Group of TenSigned in Washington“Smithsonian Institution The agreement announced that the US dollar depreciated by 7.89% against goldCurrency pairUSD exchange rateOfFluctuation rangeIt is expanded to ± 2.25% of the currency parity.In February 1973, the United States announced that the dollar was devalued by 10% again.The devaluation of the US dollar failed to prevent the continued occurrence of the US dollar crisis. Finally, in March 1973, in Western Europe and Japanforeign exchange marketAfter 17 days of forced closure, major Western countries reached an agreement and began to implementFloating exchange rate system。
stayFloating exchange rate systemThe exchange rate between currencies directly reflects theout-off-balanceStatus, reflected ininternational financial marketOn the other hand, the exchange rate between various currencies fluctuates frequently and violently, and the foreign exchange risk increases rapidly compared with that under the fixed exchange rate system.All kinds of financial productsholderFaced with the threat of increasingly serious foreign exchange risk,Risk avoidanceThe market urgently needs a convenient and effective tool to prevent foreign exchange risks.In this context,Foreign exchange futuresemerge as the times require.
In May 1972, the AmericanChicagoEstablishment of commercial exchangesInternational money marketBranch, launchedForeign exchange futures trading。Introduced at that timeForeign exchange futures contractsAll are quoted in USD, and there are 7 kinds of currency targets, namelypound、Canadian Dollar、West GermanyMarkJapanese yen、CHF、Mexican PesoAnd Italylira。Later, the exchange adjusted the contract according to the market demand, and successively stopped the trading of Italian lira and Mexican peso, increasing theDutch guilders、French FrancandAustralian DollarFutures contracts.Following the successful launch of foreign exchange futures trading in the international monetary market, exchanges in the United States and other countries have followed suit and launched their own foreign exchange futures contracts, greatly enriching the trading varieties of foreign exchange futures and triggering innovation in other financial futures.October 1975, Chicago, USAfutures exchangeLaunched the firstInterest rate futures contract——Mortgage Receipt Futures Trading of the Government National Mortgage Association (GNMA), February 1982, Kansas Futures Exchange（KCBT）The opening of value line composite index futures trading marks the initial formation of the structure of the three major categories of financial futures.
Financial futures have a short history of more than 20 years, far less than commodity futuresDevelopment speedBut much faster than commodity futures.Financial futures trading has becomefinancial marketIn many important financial markets, financial futuresTrading volumeEven beyond its foundationfinancial products Transaction volume of.With the development of the global financial market, financial futures are increasingly characterized by internationalization. The interaction of the world's major financial futures markets is increasing, and the competition is becoming increasingly fierce.
function
The important function of financial futures trading is to provideHedgingMeans.There are two types of hedging provided by financial futures trading:
The hedging is also calledshort positionFutures hedging, which refers to the use of interest rate futures trading to avoid the futureInterest rate riseCause the value of the bonds held to decline or be predeterminedBorrowing costsRising risk;Or use foreign exchange futures trading to avoid the futureForeign exchange rateThe decline causes the decline in the value of foreign currency assets held, and the futureForeign exchange incomeThe risk of value reduction.
Also called long futures hedging, it refers to the use of interest rate futures trading to avoid future interest rate declineBond investmentThe risk of reducing the expected benefits (the purchase price of bonds increases);Or it refers to the use of foreign exchange futures trading to avoid the risk that the future rise in foreign exchange rates will cause an increase in the amount of scheduled foreign exchange payments denominated in local currency (that is, to pay more local currency).
3、 Direct hedge
It refers to the use of the same commodity as the spot to be hedged to avoid risks.
4、 Cross hedge
Meansfutures marketIf there is no commodity that is the same as the spot that needs to be hedged, the commodity with the closest linkage between interest rates will be used to avoid risks.
Due to the standardization of transactions in the futures market, the above functions are difficult to be fully realized in practice. Therefore, two kinds of risks must be paid attention to: first, basic risk.This is the risk arising from direct hedging and mutual hedging, but the former is less risky and the latter is more risky.Second,Yield curveRisk (yield curve).This is the risk caused by the inconsistent collection and payment periods and the change of the income curve.
1. The delivery of financial futures is very convenient
In futures trading, although the proportion of actual delivery is very small, once delivery is required, the delivery of ordinary commodity futures is relatively complex.Except for the delivery timedelivery points 、delivery methods In addition to strict regulationsDelivery Grade Carry out strict division.The inventory and transportation of physical goods are also quite complicated.In contrast, the delivery of financial futures is obviously much easier.Because in financial futures trading, likeStock index futuresas well asEurodollarTime depositThe delivery of such products is generally settled in cash, that is, when the futures contract expires, according to the price changes, the trading parties will settle the difference between the price changes.This cash settlement is naturally easier than physical settlement.In addition, even some financial futures (such as foreign exchange futures and variousBond futures）Physical delivery will also occur, but due to thehomogeneityAnd basically non-existenttransportation costIts delivery is also much more convenient than ordinary commodity futures.
In commodity futures, due to the existence of large delivery costs, these delivery costs willBoth partiesAll bring certain losses.For example, the delivery price of soybeans is 2000 yuan/ton. Even though this price is consistent with the local spot price at that time, the seller at this price may actually only get 1970 yuan/ton, because the transportation, warehousing, inspection, delivery and other costs must be deducted;For the buyer, in fact, it may cost 2020 yuan when the transportation and delivery fees are added.The 50 yuan difference between the two is the price blind spot.In financial futures, because there is basically no transportation cost and warehousing and ex warehouse fees, this price blind spot is greatly reduced.For usingCash deliveryIn terms of varieties, the price blind spot has even disappeared.
In commodity futures,speculatorArbitrage transactions are basically concentrated inCross month arbitrage(Spread, also known asSpread arbitrage）In this form.The reason why arbitrage is seldom used is that it deals with spot commoditiesadditional costsHigh, poor liquidity and difficult to carry out.In financial futures tradingSpot marketIt has the characteristics of low additional costs, good liquidity and easy to carry out, which has attracted a number of powerful institutions specialized in futures and cash arbitrage transactions.Arbitrage is popular in financial futures. On the one hand, it promotes the liquidity of futures trading, and on the other hand, it also makesfutures pricesAndspot priceThe difference between them is always kept within a reasonable range.
4. It is difficult to close positions in financial futures
In commodity futures, closing positions sometimes occur.In general, the performance of closing positions is that there is a large difference between the futures price and the spot price, which is far beyond the reasonable range, and the futures price does not converge to the spot price at or near the time of delivery.The more serious closing position market is the manipulatorSimultaneous controlSpot and futures, in the United States in 1980Silver futuresThere was a round of soybeans in CBOT in 1989Forced market。However, in the history of world financial futures, the close position market has never occurred.The reason why it is difficult to squeeze positions in financial futures is that the financial spot market is a huge market and cannot be manipulated by the makers;Second, because of the powerfulFuture cash arbitrageWith the existence of power, they will bury the makers who attempt to launch the closing market;Finally, for some financial futures that implement cash delivery, the final delivery price of the futures contract is the spot price at that time, which is equivalent to establishing a compulsory convergence guarantee system, completely eliminating the possibility of closing positions.
basic feature
As an activity of buying and selling standardized financial commodity futures contracts, financial futures transaction is carried out in a highly organized financial futures exchange with strict rules.The basic characteristics of financial futures trading can be summarized as follows:
1、 The subject matter of the transaction is a financial product
This kind of transaction object is mostly invisible and virtual securities, which does not include physical goods actually existing;
Financial products as trading partnersYieldAnd quantity, such as currency, transaction amountLiquidation date, transaction time, etc. have been standardized, but it is uncertain whetherTransaction price；
3、 Financial futures trading adopts open bidding to determine the purchase and sale price
It can not only form an efficient trading market, but also be transparentreliabilityHigh;
4、 The membership system is implemented for financial futures trading
Non memberTo participate in the trading of financial futures, a member must act as an agent. Because direct trading is limited to the same members, and members are also settlement members who pay the depositcredit risksSmall, high degree of security assurance;
5、 Normalization of delivery term
The delivery period of financial futures contracts is mostly three months, six months, nine months or twelve months, and the longest is two years. The delivery time within the delivery period depends on the trading partner;
Futures classification
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financial futures
In the 1970s, the futures market had a breakthrough development. A large number of financial futures emerged and gradually occupied the futures marketleading role 。The prosperity of financial futures is mainly due to the violent turbulence of the international financial market, and financial risks are more and more concerned by people. The introduction of financial futures meets people's need to avoid financemarket risk Needs.With the success of many financial futures contracts, the futures market has been revitalized and made rapid development.
There are many futures contracts related to finance.The varieties that have been developed mainly fall into five categories:
Interest rate futures
Refers to the futures contract with the interest rate as the subject matter.The first interest rate futures in the world was launched by the United States in 1975ChicagoThe American National Mortgage Association's mortgage-backed futures launched by commercial exchanges.Interest rate futures mainly includeLong term treasury bondsSubject-matterLong term interest rate futuresAnd in two monthsDeposit interest rateSubject-matterShort term interest rate futures。
currency future
Refers to the futures contract with the exchange rate as the subject matter.Currency futures are created to meet the needs of countries engaged in foreign trade and financial business. The purpose is to avoid exchange rate riskInternational money marketLaunch the first pictureCurrency futures contractsAnd succeed.later.UKAustraliaAnd other countries have successively established currency futures trading markets,Currency futures tradingIt has become a worldwide trade product.The currencies involved in international currency futures contract transactions mainly include euro, pound, dollarJapanese yen, Swiss FrancCad 、AUD, NZD, RMB, etc.
Stock index futures
Refers toshare indexA futures contract that is the subject matter.Stock index futures areFinancial futures marketThe hottest and fastest growing futures trading.The stock index futures do not involve the delivery of the stock itself, and its price is based on the stockIndex calculationThe contract is delivered in the form of cash settlement.
It has a large influence in the world, withRepresentativenessThere are several kinds of stock indexes.
It refers to the standardized contract transaction in which both parties agree to exchange one currency for another at a certain time in the future according to the agreed proportion.It refers to the futures contract with the exchange rate as the subject matter, which is used to avoid the exchange rate risk.It is the earliest kind of financial futures.Since May 1972Chicago Mercantile ExchangeThe International Monetary Market Branch ofForeign exchange futures contractsSince then, with the development of international trade andworld economyintegration process The acceleration of,Foreign exchange futures tradingIt has maintained a strong momentum of development.It is not only for investors and financial institutionsEconomic subjectProvides effectiveHedgingTools, but also forArbitrageurAnd speculators provide new means of profit.
Treasury bond futures
It refers to the way of treasury bond derivative transaction in which the buying and selling price is determined in advance through an organized trading place and the money and securities are delivered in a specific time in the future.Treasury bond futures belong to a kind of financial futures, which is an advancedFinancial derivatives。It was in the 1970sAmerican financial marketUnder the unstable background, it is generated to meet the demand of investors to avoid interest rate risk.
Trading system
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Centralized transaction
Financial futures in the futures exchange orstock exchangeConduct centralized trading.The futures exchange is a place for trading futures contracts, is the core of futures, and undertakes the important functions of organizing and supervising futures transactions.
The futures contract is a standardized contract designed by the Exchange and published to the market after being approved by the competent authority.The futures contract is designed as a standardized contract in order to facilitate the trading parties to make an opposite transaction for hedging before the expiration of the contract, so as to avoid physical delivery.
bond
In order to control the risk of futures trading and improve efficiency, member brokerage companies of futures exchanges must pay to the exchanges or clearing housesClearing Margin , and both parties of futures trading must pay a certain amount of margin to the exchange or clearing house through brokers.Due to futures tradingMargin level Very low, so highLeverage。
Clearing houses are specialized clearing institutions for futures trading.The clearing house implements non liabilityDaily settlement system, also known as "mark to market system", that is, every futures contractTrading dayBefore closingSpecified timeAverage withinTransaction pricebydaily settlement price 。Compare with the price of each transaction.Calculate theFloating P/L , carry out market clearing.Since the daily timing system takes one trading day as the longestSettlement cycle, for all accountsTrading positionIt is calculated separately according to different maturity dates, and requires that all trading gains and losses can be settled in time, so that they can be adjusted in timeMargin account, control market risk.
Limited warehouse system
Limited warehouse systemIt is the purpose of the Exchange to prevent excessive concentration and prevention of market risksmanipulate the marketA system that restricts the number of positions held by traders.
In order to prevent excessive irrational changes in futures prices, the exchange usuallyTrading periodMaximum allowedFluctuation rangeMake provisions.Once the price risesDeclineLimit, the purchase price above or below the change pricesell order Invalid.
function
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The financial futures market has many economic functions, among which the most basic function is to avoid risks and find prices.
Risk avoidance
Since the 1970s, the frequent and substantial fluctuations of exchange rate and interest rate have comprehensively exacerbated the internal risks of financial products.Investors are facing increasingly influentialfinancial liberalizationTide objectively requires avoiding interest rate risk, exchange rate risk andStock price fluctuationRisk and a series of financial risks.The financial futures market is built and developed to meet this demand.Therefore, risk aversion is the primary function of the financial futures market.
futures
By purchasing relevant financial futures contracts, investors establish positions opposite to the spot market in the financial futures market, and adopt the method of hedging and closing positions before the expiration of futures contracts or performing delivery at the expiration of futures contracts according to different market conditions to achieve the purpose of avoiding risks.
From the perspective of the whole financial futures market, there are three main reasons why its risk aversion function can be realized: first, many holders of physical financial products face different risks, and they can control the overall risk of the market by reaching transactions beneficial to each other.For example, importers are worried about the rise of foreign exchange rate, whileexporterWorried about the decline of foreign exchange rate, they can realize risk hedging through reverse foreign exchange futures trading.The second is that the futures price and spot price of financial products generally change in the same direction.Investors have established a relationship with finance in the financial futures marketSpot marketAfter the opposite position, when the price of financial products changes, it is inevitable to make profits in one market, while it is damaged in another market. Its profits and losses can be offset in whole or in part, so as to avoid risks.Third, the financial futures market has standardizedFloor tradingA large number of speculators who are willing to take risks and make profits are concentrated.Through frequent and rapid trading hedging, they transferred theprice risk So that the risk aversion function of the financial futures market can be realized.
Discovery price
Discovery of financial futures marketPrice functionIt means that the financial futures market can provide various financial products effectivelyprice information 。
In the financial futures market, there are many buyers and sellers of various financial futures contracts.They determine the transaction price in a way similar to auction.This situation is close toPerfectly competitive market, which can reflect investors' financialcommodity priceThe expectation of the trend and the supply and demand of financial commodities.Therefore, the transaction price of a financial futures contract can comprehensively reflect the impact of various factors in the financial market on the subject goods of the contract, which is open and transparent.
Thanks to modern electronicsCommunication technologyThe development of financial futures and the prices of major financial futures can generally be broadcast to all parts of the world in real time.Therefore, the price formed in the financial futures market not only has a direct impact on various investors in the marketGuiding role, which is also related to other financial futures marketsMarket supplyUseful reference information.Professional investors and holders of physical financial products in all relevant markets can form a financial commodity priceReasonable expectations, and then arrange in a planned wayinvestment decision And productionBusiness decisionTo help reduceInformation search cost, improveTransaction efficiencyAnd realize fair and reasonable competition with equal opportunities.
We are analyzing a specific type of financial futuresDevelopment trendThe above situations shall be combined for flexible judgment.
cost
The most important thing isHolding costs, i.e. holding the subject matter of futures toFutures contractRequired for expirationCostThe cost includes three items:
1、Storage cost: including the cost of storing the subject matter and insurance;2. Transportation cost;
All kinds of goods need to be stored in storageStorage expensesThe subject matter of financial futures, whether the market is bonds, stocks or foreign currenciesStorage costsSome, such as stock index futures, do not even need storage costs.In addition, the subject matter of these financial futures not only has low storage costs, but also has interest if it is deposited in financial institutions, such as stocksdividendBoth bonds and foreign currencies have interest, which sometimes exceeds the deposit cost, resulting in holding interest.General merchandiseAnother big expense compared with financial products isTransportation expenses, such as turning corn fromIowaWhen it is transported to Chicago, the remittance fee is obviously higher than that of foreign currency or bonds, such asStock indexEven without freight.
Main differences
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Differences between financial futures and commodity futures
Financial futures and commodity futuresTransaction mechanismThe contract characteristics and institutional arrangements are the same, but they are also different:
Second, stock index futures are settled in cash on the delivery date, interest rate futures can be settled through the transfer of securities, and commodity futures can be settled through the transfer of physical ownership;
Third, financial futures contractsdue dateThey are all standardized, and generally have maturity dates in March, June, September and December.The expiration date of a commodity futures contract varies according to the characteristics of the commodity;
Fourth, the maturity date applicable to financial futures is longer than that of commodity futures,U.S. governmentLong term treasury billThe term of validity of futures contracts can be as long as several years;
Fifth, the holding costs are different.The cost required to hold the futures contract to its maturity date is the holding cost, which includes three items: storage cost, transportation cost and financing cost.All kinds of commodities need to be stored, and storage costs are required. The storage costs required for the subject matter of financial futures contracts are low, and some, such as stock indexes, do not even need storage costs.If the subject matter of financial futures is deposited in a financial institution, there will also be interest, such as stock dividends, foreign exchange interest, etc. Sometimes these interests will exceed the deposit cost, resulting inHolding income(i.e. negative holding cost);
Sixth, the speculative performance is different.Because the financial futures market is more sensitive to external factors than commodity futures, and the volatility of futures prices is more frequent and larger, it is more speculative than commodity futures.
Difference between financial futures trading and financial spot trading
Financial spot, such as bonds and stocks, have property rights to certain special objects, while financial futures are derivatives of financial spot.The development and improvement of spot trading has laid the foundation for financial futures trading.At the same time, financial futures trading is also an extension and supplement of spot trading.The main differences between the two are as follows:
(1) Different transaction purposes
Financial spot trading belongs toTransfer of property rightsWhile futures trading focuses onRisk transferAnd obtain reasonable orExcess profitThe purpose of most financial futures trading is not to actually obtain cash;
(2) Different price decisions
Spot transactions generally adoptOne-on-one negotiationDecide the transaction price, and the futures trading must be concentrated in the exchange for disclosureAuction biddingTo determine the transaction price;
(3) Different trading systems
There are mainly: cash can be held for a long time, while futures have time limit;Futures trading can buy short, while spot trading can only buy first and then sell;The spot transaction is a full amount transaction, while the futures transaction is a margin transaction, so the risk is high. In addition, the fluctuation of futures transaction price is limited by the maximum daily rise and fall;
(4) Different levels of organization of transactions
The place and time of spot trading are not strictly regulated, and futures trading is strictly limited toTrading hallInternally, the spot transaction information is scattered and the transparency is low.While futures trading is relatively concentrated,Information disclosure, high transparency;Futures trading has strict trading procedures and rules, and is more risk resistant than the spot market;
Financial futures tradingfinancial forward contract It is developed on the basis of transaction.The biggest common point of the two is that they both adopt the transaction mode of "deal first, delivery later", but they also have great differences.
(1) Designated Exchange
Futures andForward transactionThe first difference is that futures must be traded in a designated exchange, which must be able to provide a specific centralized place.The Exchange must also be able to regulate the completion of customers' orders at fair and reasonable transaction prices.Futures contractTrading hallwithinPublic transactionsThe exchange must also ensure that the buying and selling prices at that time can be timely and widely spread, so that futures can enjoy the advantages of trading from the transparency of trading.andforward market The organization is relatively loose, there is no exchange, no centralized trading place, and the trading mode is not centralized;
(2) Contract standardization
The financial futures contract is a standardized contract that conforms to the regulations of the Exchange. There are strict and detailed regulations on the quality, quantity, maturity date, trading time, and delivery level of the traded financial productsForward contractFor the quality, quantityClosing DateBoth parties to the transaction decide on their own, without fixed specifications and standards;
(3) Margin and daily settlement
Forward contract transactionUsually not paidbondThe profit and loss will be settled after the contract expires.Futures trading is different. 5%~10% of the contract amount must be paid as the deposit before tradingLiquidation companyDaily settlement is carried out. If there is surplus, it can be withdrawn. If there is loss and the book margin is lower than the maintenance level, it must be supplemented in time. This is to avoid the exchangeCredit crisisAn extremely importantSafety measures；
(4) End of position
endFutures positionThere are three methods for the settlement of the original position: first, closing the original position by hedging or reverse operation, that is, buying and selling futures contracts with the same quantity and opposite direction as the original position; second, using cash or spot delivery; third, implementing EX change -- For -- Physics.In the futures to spot transaction, the two traders promise to exchange the spot and the futures contract with the spot as the subject.As the forward transaction is an agreement reached by both parties according to their own needs, the price, quantity and duration are not standardized. If one party breaches the contract halfway, it is usually difficult to find a third party to unconditionally take over the rights and obligations. Therefore, the defaulting party can only provide additional preferential conditions to request termination or find a third party to take over the original rights and obligations;
(5) Participants in the transaction
Most participants in forward contracts are professional manufacturersTradersAnd financial institutions, while futures trading is more popular, and the market liquidity and efficiency are very high.Banks, companiesFinancial institutions, individuals, etc;
Trading volume
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Transaction volume and growth ratio in 88~89
Name of the facility
Trading volume in 1988
Trading volume in 1989
growth rate
Exchange name
1988
1989
growth rate
Chicago Board of Trade
one hundred and forty-three thousand and thirty-eight
one hundred and thirty-eight thousand three hundred and fifty-one
－3.3%
Chicago Mercantile Exchange
seventy-eight thousand and eleven
one hundred and four thousand three hundred and fifty-one
34%
Tokyo Stock Exchange
twenty thousand six hundred and seven
twenty-seven thousand six hundred and forty-four
34%
French International Business Exchange
sixteen thousand five hundred and eighty
twenty-six thousand and two
57%
London International Financial Futures Exchange
fifteen thousand five hundred and forty-six
twenty-three thousand eight hundred and fifty-nine
The general price level and its change data represent the wholeEconomic vitalityAnd it also reflectsinflationAn alternative indicator of stress levels.Generally speaking, inflation is closely related to changes in interest rates, and will also influence the government's monetary policy and change the marketLong term fundsStatus.Specific performance will affect investors ordealer Investment return level.Therefore, securities, even futures andOptionMarket participants must pay close attention to changes in inflation indicators.
government policy
In the case of the United States, his monetary policy was formulated by the Federal Reserve Council and passed throughFederal Reserve BankSystem to implement its monetary policy and implementation management.Because the Federal Reserve Council canM1andM2Monitoring andRediscount rateTo control the circulation and growth of money, so its policy orientation and measures will have an impact on the interest rate levelsignificant impact 。
Interventions
In order to achieveCurrency managementIn addition to using relaxation orTighten monetary policyTo controlMoney in circulationOutside the capacity of the central bank or the United StatesFEDThe market can still be temporarily changed in other wayscirculating capitalSupply.Therefore, in addition to observing the impact of policy measures on currencies and even general financial products, traders in the futures market also have a strong interest inmarket overtThe intervention measures taken should also be mastered and understood so as to understand the possiblePrice fluctuationAnd make a more correct judgment.
Economic indicators
Industrial activities are related to the supply of all commodities and also affect the flow of market funds.Generally speaking, the prosperity of industrial activitiesCommercial fundsAnd the increase in demand for loans will lead to the rise of interest rates;The decline of industrial activities, commercial loans andFund demandThe interest rate will also decrease.Therefore, government agencies pay close attention to changes in industrial activities and release various industrieseconomic activity's report aseconomic policyBasis for implementation;And private organizationsMarket participants, collect these data and reports to serve as the basis for economic and financial forecasting.
Market organization
Announce
edit
The composition of the international monetary market of the Chicago Mercantile Exchange is used to illustrate the financial futures marketorganization structure。The IMM consists of:
exchange
This is the place where members engage in financial futures trading.To ensuremarket order And fair trading, but also the market is subject to certain restrictions and supervision, and members operate in accordance with the rules of the Exchange.
member
The organizational form of the exchange ismembership。It is a member's natural right to engage in trading in the Exchange.Members can also participate through senior staff meetingsPolicy formulationAnd formulate various management rules of the Exchange.Members can be divided into futures commission merchants and f! Oor brokers according to their functions. There are also members with both identities.Futures commission merchants trade with non member customers, and then transfer orders to the floor brokers.The latter can not only handle transactions for customers, but also do transactions for their own accounts.Being a trader only in his own account is also calledFloor Trader (floortrader）, it has three types: ①Hat snatcher(scalper）, this is to earn money from resellingPrice differenceOfTrader；②The daily trader refers to the broker who focuses on the price change in a business day and earns the price difference; ③Spreader refers to a dealer who earns a price difference from the price of a variety of traded commodities (rather than one).The floor trader shall determine whether to directly contact withClearing institutionTransactions can also be divided intoClearing Member (clearing member) and non clearing member, the former can directly trade with the clearing institution, while the latter can only be set up in the clearing memberTrading accountAnd settled through clearing members.
Clearing institution
This is an institution established and owned by clearing members, whose function is to ensure the performance of transactions and be responsible for settlement.It specifically includesThree rolesFirst, guarantee performance.That is, the liquidation institution shall provide guarantee for the performance of the contract by the buyer and seller.Second, collectOriginal margin。The margin is deposited by the clearing member entrusted by the parties to the transaction and deposited by the clearing member in the clearing institution.Third, settlement and maintenanceTrade Kicker 。At the end of each day's transaction, the clearing institution shall usemarket valueSettle unsettled contracts, and adjust (increase or decrease) the original deposit according to the settlement results (surplus or loss).That is, no matter what, the margin must be maintained at a certain level.The minimum margin balance that should be maintained is the trading margin.If the margin falls below the transaction margin, the buyer and seller mustAdditional margin。
participant
It has two types:
① Commercial dealers, includingSecurities firms, commercial banks and other financial institutions, pension funds, insurance companies and enterprises.Its purpose is to avoid risks arising from changes in interest rates and prices.
② Non commercial dealers, including futures commission merchants, investment trusts in the futures marketIndividual investors。The main purpose is speculation.
Mode of sale
In the futures marketUp divisionBesides price, other trading terms are standardized or scaled.The transaction price is determined by the exchangePublic auctionDetermined.Those who participate in the transaction can freely look for the buying and selling object before the transaction starts, but the transaction method can only be publicAuction mode, otherwise it is invalid.
See Figure 1 for the composition and trading flow of financial futures market.
