4-Futures and Options on Foreign Exchange（PPT）

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1、CurrencyFuturesandOptionsLearningObjectivesandOutlineLearningObjectiveThischapterdiscussesexchange-tradedcurrencyfuturescontracts,optionscontracts.LectureOutlineFuturesContracts:PreliminariesCurrencyFuturesMarketsBasicCurrencyFuturesRelationshipsOptionsContracts:PreliminariesCurrencyO

2、ptionsMarketsBasicOptionPricingRelationshipsatExpiryFuturesContract:PreliminarieslikeaforwardcontractexchangeataspecifiedtimeinthefuturepricedtodayMorecontractspecifications？CurrencyFuturesContractSpecificationsCurrencyFuturesQuotations(CME)FuturesContracts:QuotationsFuturesContracts:Quo

3、tationsOpenHiLoSettleChangeLifetimeLifetimeOpenHighLowInterestSept.9282.9325.9276.9309+.00271.2085.863674,639HighestandlowestDailyChangepricesovertheClosingpricelifetimeofthecontract.LowestpricethatdayHighestpricethatdayOpeningpriceNumberofopencontractsExpirymonthFutureContracts:DailyResettle

4、mentAssumeAlongpositionintheCMEEuro/U.S.Dollarcontract.Contractsizeis€125,000andquotedin$per€.Thestrikepriceis$1.30per€thematurityis3months.Theinitialperformancebondis4%.Themaintenanceperformancebondis2.5%.Calculation1:DailyResettlementofFuturesOverthefirst3days,theeurostrengthensthend

5、epreciatesindollarterms:AtleasthigherthanmaintenanceMarginSettleGain/LossAccountBalance$1.31$1,250$7,750=$6,500+$1,250$1.30–$1,250$6,500$1.27–$3,750$2,750+$1218.75=$3968.75Ondaythreesupposeourinvestorkeepshislongpositionopenbypostinganadditional$1218.75.Calculation1:DailyResettlementofFutures

6、Overthenext2days,thelongkeepslosingmoneyandclosesouthispositionattheendofdayfive.AtleasthigherthanmaintenanceMarginSettleGain/LossAccountBalance$1.31$1,250$7,750$1.30–$1,250$6,500$1.27–$3,750$2,750+$1218.75=$3968.75$1.26–$1,250$3968.75-$1250+$1218.75=$3937.5$1.24–$2,500$3937.5-$2500+$2437.5=

7、$3875LongandShortPositionsinaFuturesContractCurrencyOption:PreliminariesAnoptiongivestheholdertheright,butnottheobligation,tobuyorsellagivenquantityofanassetinthefutureatpricesagreedupontoday.CallsversusPutsEuropeanversusAmericanoptionsEx