The full name of stock index futures is stock price index futures, which can also be called stock index futures and futures index. It refers to the standardized futures contract with the stock index as the subject matter. The two sides agreed that on a specific date in the future, they can buy and sell the underlying index according to the size of the stock index determined in advance. As a type of futures trading, stock index futures trading has basically the same characteristics and processes as ordinary commodity futures trading.
basic feature
1. Stock index futures have the same characteristics as other financial futures and commodity futures.
Contract standardization. The standardization of futures contracts means that all the terms of futures contracts except the price are predetermined and have the characteristics of standardization. Futures trading is conducted by buying and selling standardized futures contracts.
Centralized trading. The futures market is a highly organized market, with strict management system, and futures trading is completed centrally in the futures exchange.
Hedging mechanism. Futures trading can end the performance responsibility through reverse hedging operation.
Daily debt-free settlement system. After the daily trading, the Exchange will adjust the margin accounts of each member according to the settlement price of the day to reflect the profit or loss of investors. If the price changes in a direction that is not conducive to investors' positions, investors must add margin after daily settlement. If the margin is insufficient, the investor's position may be forced to close.
Leverage effect. Stock index futures use margin trading. Since the amount of margin to be paid is determined according to the market value of the traded index futures, the exchange will decide whether to add margin or withdraw the excess according to the change of market price.
2. The uniqueness of stock index futures.
The subject matter of stock index futures is a specific stock index, and the quotation unit is the index point.
The value of a contract is expressed by the product of a currency multiplier and the quotation of a stock index.
The delivery of stock index futures adopts cash delivery, and the position is settled in cash instead of stock delivery.
The difference between stock index futures and commodity futures trading
The target index is different. The subject matter of stock index futures is a specific stock price index, not a real target asset; The object of commodity futures trading is goods with physical form.
Different delivery methods. Stock index futures are delivered in cash, and positions are settled in cash by clearing the difference on the delivery date; On the other hand, commodity futures are delivered in kind and settled by the transfer of physical ownership on the delivery date.
The standardization degree of contract expiration date is different. The maturity date of stock index futures contracts is standardized, generally in March, June, September, 65438+February, etc. The maturity date of commodity futures contracts varies according to the characteristics of commodities.
The cost of holding is different. The holding cost of stock index futures is mainly financing cost, and there is no physical storage cost. The stock you hold sometimes pays dividends. If the dividend exceeds the financing cost, there will be holding income. The holding cost of commodity futures includes storage cost, transportation cost and financing cost. The holding cost of stock index futures is lower than that of commodity futures.
Speculation is different. Stock index futures are more sensitive to external factors than commodity futures, and the price fluctuates more frequently and violently, so stock index futures are more speculative than commodity futures.
Compared with stocks traded in the stock index, stock index futures have important advantages, mainly in the following aspects:
1. Provide convenient short selling.
A prerequisite for short selling is that you must borrow a certain number of shares from others first. There are no strict conditions for short selling abroad, which makes it difficult for all investors to complete short selling in the financial market. For example, in Britain, only securities market makers can borrow British stocks; American Securities and Exchange Commission rule 10A- 1 stipulates that investors must borrow shares through securities brokers and pay a certain amount of related fees. Therefore, short selling is not suitable for everyone. The trading of index futures is not like this. In fact, more than half of index futures trading includes short selling positions.
2. The transaction cost is low.
Compared with spot trading, the cost of stock index futures trading is quite low. The cost of index futures trading includes: trading commission, bid-ask spread, opportunity cost of paying margin and possible tax. For example, in Britain, futures contracts do not need to pay stamp duty, and buying index futures only needs one transaction, while buying a variety of stocks (such as 100 or 500) needs multiple transactions, with high transaction costs. In the United States, a futures transaction (including the complete transaction of opening and closing positions) only charges about $30. Some people think that the transaction cost of stock index futures is only one tenth of the stock transaction cost.
3. Higher leverage ratio
In Britain, a futures trading account with an initial margin of only 2,500 pounds, the trading volume of the Financial Times 100 index futures can reach 70,000 pounds, and the leverage ratio is 28: 1. Because the amount of margin payment is determined according to the market value of the index futures traded, the exchange will decide whether to add margin or withdraw excess according to the price change of the market.
This market is highly liquid.
Research shows that the liquidity of stock index futures market is obviously higher than that of spot stock market. For example, 199 1, the trading volume of FTSE-100 index futures has reached 85 billion pounds.
Judging from the development of foreign stock index futures market, the investors who use stock index futures the most are the investment managers of various funds (such as mutual funds, pension funds and insurance funds). In addition, other market participants mainly include underwriters, market makers and stock issuing companies.
Pricing principle
There is a basic law in economics called "law of one price". This means that two identical assets must be quoted at the same price in two markets, otherwise a market participant can carry out so-called risk-free arbitrage, that is, buy at a low price in one market and sell at a high price in the other market. Eventually, due to the increase in demand for the asset, the price of the asset in the original low-priced market will rise, while the price of the asset in the original high-priced market will fall until the last two quotations are equal. Therefore, supply and demand forces will produce a fair and competitive price, so that arbitrageurs cannot obtain risk-free profits.
Here is a brief introduction to the position cost pricing model of forward and futures prices. The model has the following assumptions:
Futures and forward contracts are the same;
The corresponding assets are separable, that is, the stock can be zero shares or scores;
Cash dividend is fixed;
The interest rates of borrowed and lent funds are the same and known;
Short selling spot is not limited, and you can get the corresponding money immediately;
No taxes and transaction costs;
Spot price is known;
The corresponding spot assets have sufficient liquidity.
This pricing model is based on the assumption that futures contracts are temporary substitutes for future transactions of spot assets. Futures contracts are not physical assets, but agreements between buyers and sellers. The two sides agreed to conduct spot transactions later, so there was no money to change hands at the beginning of the agreement. The seller of a futures contract can't deliver the corresponding spot to get cash until the later stage, so it must be compensated to make up for the income brought by the spot funds that it gave up because of holding the corresponding spot. On the contrary, the buyer of the futures contract will pay cash to settle the spot at a later stage and must pay the cost of delaying the spot payment by using the capital position, so the futures price must be higher than the spot price to reflect these financing or position costs (this financing cost is generally expressed by the risk-free interest rate in this period).
Futures price = spot price+financing cost
If the corresponding asset is a stock portfolio that pays cash dividends, then the party who buys the futures contract does not receive dividends because it does not immediately hold the stock portfolio. On the contrary, the contract seller gets dividends because he holds the corresponding stock portfolio, thus reducing his position cost. Therefore, futures prices should be adjusted downward by the amount equivalent to dividends. Results The futures price is a function of the net position cost, that is, the financing cost minus the corresponding asset income. That is:
Futures price = spot price+financing cost-dividend income
Generally speaking, when the financing cost and dividend income are expressed by continuous compound interest, the pricing formula of index futures is:
F=Se(r-q)(T-t)
These include:
F= the value of the futures contract at time t;
S= the value of the underlying assets of the futures contract at time t;
An investment due at time r = t is a risk-free interest rate calculated by continuous compound interest (%);
Q= dividend yield, calculated by continuous compound interest (%);
T= expiration time of futures contract (year)
T= current time (year)
Consider a three-month S&P 500 futures contract. Assuming that the dividend yield of the stock used to calculate the index is converted into continuous compound interest of 3% per year, the present value of the S&P 500 index is 400, and the risk-free interest rate of continuous compound interest is 8% per year. Where r=0.08, S=400, T-t=0.25, q=0.03, and the futures price f is:
F=400e(0.05)(0.25)=405.03
We call this equilibrium futures price the theoretical futures price. In practice, it may deviate from the theoretical price, because the conditions assumed by the model cannot be fully met. However, if these factors are taken into account, empirical analysis proves that there is no significant difference between the actual futures price and the theoretical futures price.