期權(quán)期貨與其他衍生產(chǎn)品課件第 (3)

1、Chapter 3利用期貨的對(duì)沖策略利用期貨的對(duì)沖策略O(shè)ptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20141多頭多頭 & 空頭空頭 對(duì)沖對(duì)沖當(dāng)公司已知在將來(lái)需要買入一定資產(chǎn)并想鎖定價(jià)格時(shí)，可以采用多頭對(duì)沖當(dāng)對(duì)沖者已經(jīng)擁有了資產(chǎn)并期望在將來(lái)某時(shí)以其鎖定的價(jià)格賣出資產(chǎn)時(shí)，選擇空頭對(duì)沖；當(dāng)某人當(dāng)前并不擁有資產(chǎn)，但在將來(lái)某時(shí)刻會(huì)擁有資產(chǎn)時(shí)，也可選擇空頭對(duì)沖Options, Futures, and Other Derivatives, 9th Edition, Copyright John C

2、. Hull 20142擁護(hù)對(duì)沖的觀點(diǎn)擁護(hù)對(duì)沖的觀點(diǎn)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20143公司應(yīng)該將精力集中在其主營(yíng)業(yè)務(wù)上，采取對(duì)沖的措施使得利率、匯率及商品價(jià)格變化造成的影響降到最低反對(duì)對(duì)沖的觀點(diǎn)反對(duì)對(duì)沖的觀點(diǎn)個(gè)人股東比企業(yè)做起來(lái)更容易的一件事是將風(fēng)險(xiǎn)分散化，可以自己對(duì)沖面臨的風(fēng)險(xiǎn)一家公司，當(dāng)其競(jìng)爭(zhēng)對(duì)手沒(méi)有進(jìn)行對(duì)沖時(shí)，這家公司風(fēng)險(xiǎn)會(huì)加大要解釋標(biāo)的資產(chǎn)賺錢而對(duì)沖虧錢的情況會(huì)比較麻煩Options, Futures, and Other Derivatives, 9th

3、Edition, Copyright John C. Hull 20144基差風(fēng)險(xiǎn)基差風(fēng)險(xiǎn) Basis Risk基差經(jīng)常被定義為即期價(jià)格減去期貨價(jià)格基差風(fēng)險(xiǎn)源自對(duì)沖到期時(shí)基差的不確定性O(shè)ptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20145Long Hedge for Purchase of an Asset DefineF1 : Futures price at time hedge is set upF2 : Futures price at time asset is purcha

4、sedS2 : Asset price at time of purchaseb2 : Basis at time of purchaseOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20146Cost of assetS2Gain on FuturesF2 F1 Net amount paidS2 (F2 F1) =F1 + b2Short Hedge for Sale of an Asset Options, Futures, and Other Derivatives, 9th E

5、dition, Copyright John C. Hull 20147 DefineF1 : Futures price at time hedge is set upF2 : Futures price at time asset is soldS2 : Asset price at time of saleb2 : Basis at time of salePrice of assetS2Gain on FuturesF1 F2 Net amount receivedS2 + (F1 F2) =F1 + b2合約的選擇合約的選擇選擇一個(gè)盡可能接近到期日，但又長(zhǎng)于到期日的期貨合約進(jìn)行交割當(dāng)

6、市場(chǎng)沒(méi)有基于套保資產(chǎn)的期貨合約時(shí)， 選擇與其標(biāo)的資產(chǎn)價(jià)格相關(guān)性最高的期貨合約。這被稱作交叉對(duì)沖。Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20148最小方差對(duì)沖比率最小方差對(duì)沖比率(page 47)最小方差對(duì)沖比率為： 其中sS 是DS的標(biāo)準(zhǔn)差，DS為對(duì)沖期限內(nèi)即期價(jià)格的變化量sF 是DF的標(biāo)準(zhǔn)差，DF 為對(duì)沖期限內(nèi)期貨價(jià)格的變化量r 是 DS 與 DF的相關(guān)系數(shù)。Options, Futures, and Other Derivatives, 9th Edition, Copyri

7、ght John C. Hull 20149FShssr*Example (Page 47)某航空公司預(yù)計(jì)在1個(gè)月后需要購(gòu)買200萬(wàn)加侖航空燃料油，并決定利用民用燃料油期貨來(lái)對(duì)沖。通過(guò)歷史數(shù)據(jù)可得：sF =0.0313, sS =0.0263, r= 0.928Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201410*0.02630.9280.780.0313h Example continued每份CME集團(tuán)的民用燃料油期貨合約的規(guī)模為 42,000 加侖即期價(jià)格為$1.94 ，期貨

8、價(jià)格為 $1.99 ，故而其最優(yōu)合約數(shù)量為（四舍五入）=37Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014110.782,000,000 42,000580830004299100088030000002941,.,.FAVV最小方差對(duì)沖比率的另一種形式最小方差對(duì)沖比率的另一種形式最小方差對(duì)沖比率為 其中，各變量被定義為：Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201

9、412SFhsrs期貨價(jià)格每天百分比變化和即期價(jià)格每天百分比變化之間的相關(guān)系數(shù)即期價(jià)格每天百分比變化的標(biāo)準(zhǔn)差期貨價(jià)格每天百分比變化的標(biāo)準(zhǔn)差rSsFs最優(yōu)合約數(shù)量最優(yōu)合約數(shù)量QA 被對(duì)沖頭寸的大小（單位數(shù)量）QF合約的規(guī)模 （單位數(shù)量）VA被對(duì)沖頭寸的實(shí)際貨幣價(jià)值（即期價(jià)格乘以QA）VF一份期貨合約的貨幣價(jià)值（期貨價(jià)格乘以QF）Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201413如果沒(méi)有尾隨對(duì)沖尾隨對(duì)沖的調(diào)整，最優(yōu)合約的數(shù)量為：FAQQh*由于期貨合約每天結(jié)算的特征，在進(jìn)行了尾隨對(duì)沖

10、調(diào)整之后最優(yōu)合約的數(shù)量為AFhVV指數(shù)期貨的對(duì)沖指數(shù)期貨的對(duì)沖(Page 49)為了對(duì)沖投資組合的風(fēng)險(xiǎn)，應(yīng)持有期貨短頭寸的數(shù)量為：其中， VA 是投資組合的價(jià)值， b為其貝塔值，VF 是期貨合約的價(jià)值。Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201414FAVVbExample標(biāo)普500股指當(dāng)前值為1,000 標(biāo)普500股指期貨價(jià)格=1,010投資組合的價(jià)值為 $5,050,000組合的Beta值為 1.5為了對(duì)沖投資組合所需要的S&P 500期貨合約的頭寸狀況?Options,

11、Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201415改變組合的改變組合的 Beta將組合的 減少到0.75所需要的頭寸狀況?將組合的 增加到 2.0所需要的頭寸狀況?Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201416為什么對(duì)沖股權(quán)組合為什么對(duì)沖股權(quán)組合也許想離開市場(chǎng)一段時(shí)間，對(duì)沖避免了賣出并又回購(gòu)組合的成本。假設(shè)組合的beta值為1，但卻確信組合中的股票收益會(huì)高于市場(chǎng)的收益。對(duì)沖確保了

12、你的收益為市場(chǎng)無(wú)風(fēng)險(xiǎn)收益加上組合超出市場(chǎng)的超額收益。Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201417向前滾動(dòng)對(duì)沖向前滾動(dòng)對(duì)沖(page 53-54)我們可以向前滾動(dòng)期貨合約來(lái)對(duì)沖風(fēng)險(xiǎn)暴露最開始，我們需要利用期貨合約來(lái)對(duì)沖風(fēng)險(xiǎn)暴露，而需要對(duì)沖的期限要比所有能夠利用的期貨到期日更長(zhǎng)在期貨合約快要到期前，平掉所持倉(cāng)位，同時(shí)再重復(fù)建立能反映新的頭寸暴露的新倉(cāng)如此反復(fù)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201418流動(dòng)性問(wèn)題流動(dòng)性問(wèn)題 (業(yè)界事例業(yè)界事例3.2)無(wú)論在哪種對(duì)沖交易中，當(dāng)期貨