تنظيم تداول الخيارات

تنظيم تداول الخيارات
بسعر إضراب قدره 000 15 دولار.
ألف - مثال على عقد آجل.
باء مثال على العقود الآجلة.
C. هو مثال على خيار وضع.
D. مثال على خيار الاتصال.
¥ 100. يحتوي حساب الهامش حاليا على رصيد قدره 2000 دولار أمريكي (أو ما يعادله بالعملة المحلية). أسعار التسوية الثلاثة أيام المقبلة.
هي 0.8057 / ¥ 100، 0.7996 $ / 100، و 0.7985 $ / 100. (الحجم التعاقدي لعقد واحد من الين الياباني.
هو 12،500،000)). إذا كان لديك موقف طويل في عقد الآجلة واحد، والتغيرات في حساب الهامش.
من الوسم اليومي إلى السوق، سيؤدي إلى رصيد حساب الهامش بعد اليوم الثالث.
¥ 100. يحتوي حساب الهامش حاليا على رصيد قدره 2000 دولار أمريكي (أو ما يعادله بالعملة المحلية). أسعار التسوية الثلاثة أيام المقبلة.
هي 0.8057 / ¥ 100، 0.7996 $ / 100، و 0.7985 $ / 100. (الحجم التعاقدي لعقد واحد من الين الياباني.
هو 12،500،000)). إذا كان لديك موقف قصير في العقود الآجلة واحدة، والتغيرات في حساب الهامش.
من الوسم اليومي إلى السوق سوف يؤدي إلى رصيد حساب الهامش بعد اليوم الثالث ل.
أذهب قصيرة في السوق الفورية، تذهب طويلا في العقود الآجلة.
b. الذهاب طويلة في السوق الفورية، تذهب قصيرة في العقود الآجلة.
ج - قصيرة في السوق الفورية، قصيرة في العقود الآجلة.
د. الذهاب طويلة في السوق الفورية، تذهب طويلة في العقود الآجلة.
C. بلاك سكولز.
تقييم المخاطر المحايد.
العقود الآجلة متاحة على 10،000 €. ما مدى الأرباح المحققة من مخاطر الأرباح التي يمكنك إجراؤها على 1.
عقد عند الاستحقاق من هذا التبسيط؟
D. لا شيء مما سبق.
(إيرب)، يمكن للمراجحين الاستفادة من سوء التسعير في وقت واحد.
a. قصيرة قصيرة في العقود الآجلة، الاقتراض بالعملة المحلية، والذهاب لفترة طويلة في.
العملات الأجنبية في السوق الفورية.
B. قصيرة في العقود الآجلة، والإقراض بالعملة المحلية، والذهاب لفترة طويلة في الخارج.
العملة في السوق الفورية.
C. طويلة في العقود الآجلة، والاقتراض بالعملة المحلية، والذهاب قصيرة في.
العملات الأجنبية في السوق الفورية.
والذهاب لفترة طويلة في العقود الآجلة، والاقتراض بالعملة الأجنبية، والذهاب لفترة طويلة في الداخل.
العملة، واستثمار العائدات بسعر الفائدة المحلي.
ألف - يميل إلى أن يكون أعظم بالنسبة للعقود قصيرة الأجل.
باء - يميل إلى أن يكون أعظم بالنسبة للعقود الأطول أجلا.
ج - عادة ما تنخفض مع فترة استحقاق معظم العقود الآجلة.
أ - العدد الإجمالي للأشخاص الذين يبدون اهتماما بشراء العقود في المستقبل القريب.
ب - العدد الإجمالي للأشخاص الذين يبدون اهتماما ببيع العقود في المستقبل القريب.
ج - إجمالي عدد الأشخاص الذين يبدون اهتماما بشراء أو بيع العقود في المستقبل القريب.
دال - العدد الإجمالي للعقود الطويلة أو القصيرة الأجل المستحقة لشهر التسليم المحدد.
و علاوة الخيار هي 1،875 $، ما سعر الصرف الذي تبدأ في فقدان المال؟
D. لا شيء مما سبق.
أ. شراء وضع الخيارات على اليورو.
B. بيع خيارات المكالمة على اليورو.
C. شراء خيارات الاتصال على اليورو.
D. لا شيء مما سبق.
يتم تداول واحد في أوروبا واحد في التداول في الولايات المتحدة.
باء - الخيارات الأوروبية لا يمكن ممارستها إلا عند النضج؛ يمكن ممارسة الخيارات الأمريكية قبل.
C. الخيارات الأوروبية تميل إلى أن تكون أكثر قيمة من الخيارات الأمريكية، مع افتراض ثبات باطني.
الخيارات الأمريكية لديها سعر ممارسة ثابت. يتم تحديد سعر الخيارات الأوروبية "في المتوسط.
سعر الأصل الأساسي خلال عمر الخيار.
عقد يمنح البائع (الكاتب) خيار الحق، ولكن ليس الالتزام، لشراء (دعوة) أو بيع.
(وضع) كمية معينة من الأصل بسعر محدد في وقت ما في المستقبل.
عقد يمنح المالك (المشتري) خيار الحق، وليس الالتزام، لشراء (دعوة) أو بيع.
(وضع) كمية معينة من الأصل بسعر محدد في وقت ما في المستقبل.
عقد يمنح المالك (المشتري) خيار الحق، ولكن ليس الالتزام، لشراء (وضع) أو بيع.
(دعوة) كمية معينة من الأصول بسعر محدد في وقت ما في المستقبل.
عقد يمنح المالك (المشتري) خيار الحق، ولكن ليس الالتزام، لشراء (وضع) أو بيع.
(بيع) كمية معينة من الأصل بسعر محدد في وقت ما في المستقبل.
المستثمر هو الصحيح، الذي مزيج من استراتيجيات الاستثمار التالية سوف تظهر أرباحا في.
كل الخيارات؟
(ط) - شراء الأسهم والاحتفاظ بها لمدة 60 يوما.
(2) - شراء خيار وضع.
(3) - بيع (كتابة) خيار الاتصال.
(4) - شراء خيار الاتصال.
(v) - بيع (كتابة) خيار وضع.
أ. أصغر بكثير من التداول في أسعار صرف العملات المنظمة.
باء - أكبر بكثير من التداول في خيار صرف العملات المنظمة.
C. أكبر، لأن التبادلات هي إعادة التعبئة الخيارات أوتك لعملائها فقط.
D. لا شيء مما سبق.
موقف طويل الآجلة للمشتري دعوة أو وضع الكاتب.
ب. موقف العقود الآجلة قصيرة للمشتري دعوة أو وضع الكاتب.
موقف طويل الآجلة لوضع المشتري أو دعوة الكاتب.
د. موقف العقود الآجلة قصيرة للمشتري دعوة أو وضع المشتري.
بالنسبة لبعض الموجودات، يمكن أن يكون لعقود العقود الآجلة تكاليف معاملات أقل وسيولة أكبر من تلك.
ب. الآثار الضريبية مهمة أيضا، وبالنسبة لبعض المستخدمين عقد الخيار في المستقبل هو مزيد من الضرائب.
ج - تكاليف المعاملات والسيولة.
د. كل ما ورداعلاه.
النظر في خيار المكالمة الأمريكية لمدة ثلاثة أشهر على 62،500 €. ولكي يتم النظر في هذا الخيار، يجب أن يكون سعر الإضراب.
D. لا شيء مما سبق.
النظر في خيار المكالمة الأمريكية لمدة ثلاثة أشهر على 62،500 € مع سعر الإضراب من 1،50 $ = 1،00 €. اذا أنت.
دفع قسط الخيار من 5000 $ لشراء هذه الدعوة، في أي سعر الصرف سوف التعادل؟
أ. تقليل قيمة المكالمات ووضع ثبات باقى.
B. زيادة قيمة المكالمات ويضع ثبات باقى.
ج. خفض قيمة المكالمات، وزيادة قيمة يضع معايرين باريبوس.
D. زيادة قيمة المكالمات، وانخفاض قيمة يضع معايرين باريبوس.
زيادة في سعر الصرف S (€ / $)؟
أ. تقليل قيمة المكالمات ووضع ثبات باقى.
B. زيادة قيمة المكالمات ويضع ثبات باقى.
ج. خفض قيمة المكالمات، وزيادة قيمة يضع معايرين باريبوس.
D. زيادة قيمة المكالمات، وانخفاض قيمة يضع معايرين باريبوس.
الزيادة في سعر الصرف S ($ / €)؟
أ. تقليل قيمة المكالمات ووضع ثبات باقى.
B. زيادة قيمة المكالمات ويضع ثبات باقى.
ج. خفض قيمة المكالمات، وزيادة قيمة يضع معايرين باريبوس.
D. زيادة قيمة المكالمات، وانخفاض قيمة يضع معايرين باريبوس.
أ. تقليل قيمة المكالمات ووضع ثبات باقى.
B. زيادة قيمة المكالمات ويضع ثبات باقى.
ج. خفض قيمة المكالمات، وزيادة قيمة يضع معايرين باريبوس.
D. زيادة قيمة المكالمات، وانخفاض قيمة يضع معايرين باريبوس.
أ. تقليل قيمة المكالمات ووضع ثبات باقى.
B. زيادة قيمة المكالمات ويضع ثبات باقى.
ج. خفض قيمة المكالمات، وزيادة قيمة يضع معايرين باريبوس.
D. زيادة قيمة المكالمات، وانخفاض قيمة يضع معايرين باريبوس.
هو 1.00 يورو = 1.25 دولار. في الفترة المقبلة، يمكن لليورو أن يزيد من قيمة الدولار إلى $ 2.00 أو ينخفض ​​إلى 1.00 دولار. ال.
سعر الفائدة بالدولار هو i.
$ = 27.50٪؛ سعر الفائدة باليورو هو i.
نسبة التحوط هي ½. أي مما يلي سيكون التحوط المناسب لمركز قصير في هذا.
شراء € 10،000 اليوم في سعر الصرف الفوري اليوم.
شراء € 5،000 اليوم في سعر الصرف الفوري اليوم.
توافق على شراء 5000 يورو عند استحقاق الخيار بسعر الصرف الآجل لاستحقاق.
الخيار الذي يسود اليوم (أي أن يمضي قدما في عقد آجل قدره 000 5 يورو).
شراء القيمة الحالية من 5000 € مخفضة في i € لاستحقاق الخيار.
هاء - ج) و (د).
واو - لا شيء مما سبق.
سعر الصرف (حاليا S0.
($ / €) = $ 1.50 / €) يمكن أن تزيد بنسبة 60٪ أو نقصان بنسبة 37.5٪ (أي ش = 1.6 و د.
= 0.625). سعر الفائدة الحالي لسنة واحدة في الولايات المتحدة هو i.
$ = 4٪ ومعدل الفائدة الحالي لسنة واحدة في.
منطقة اليورو هي i.
هاء - لا شيء مما سبق.
سعر الصرف (حاليا S0.
($ / €) = $ 1.50 / €) يمكن أن تزيد بنسبة 60٪ أو نقصان بنسبة 37.5٪ (أي ش = 1.6 و د.
= 0.625). سعر الفائدة الحالي لسنة واحدة في الولايات المتحدة هو i.
$ = 4٪ ومعدل الفائدة الحالي لسنة واحدة في.
منطقة اليورو هي i.
هاء - لا شيء مما سبق.
سعر الصرف هو $ 2.00 = 1.00 £؛ معدل الفائدة الخالية من المخاطر في الولايات المتحدة هو 5٪ خلال الفترة والمعدل الخالي من المخاطر في المملكة المتحدة.
هو أيضا 5٪. في العام المقبل، فإن الجنيه إما أن يتضاعف بالدولار أو ينخفض ​​بمقدار النصف (أي ش = 2 و d =
½). إذا قمت بكتابة خيار اتصال واحد، ما هي قيمة اليوم (بالدولار) لمحفظة التحوط؟
هاء - لا شيء مما سبق.
سعر 1.00 $ = 1.00 يورو. ويبلغ سعر الصرف الحالي 1.25 دولار = 1.00 يورو؛ معدل الولايات المتحدة الخالية من المخاطر هو 5٪ أكثر من.
و 4٪ في منطقة اليورو خالية من المخاطر. ويبلغ تقلب األصول األساسية 10.7٪.
D. لا شيء مما سبق.
هو $ 1 = ¥ 100. وتبلغ نسبة التقلب 25 في المائة سنويا؛ ص.
D. لا شيء مما سبق.
أ. تستخدم على نطاق واسع في الممارسة، وخاصة من قبل البنوك الدولية في تداول الخيارات أوتك.
لا تستخدم على نطاق واسع خارج العالم الأكاديمي.
والعمل بشكل جيد بما فيه الكفاية، ولكن لا تستخدم في العالم الحقيقي لأنه لا يوجد أحد لديه الوقت للجلد حاسبة بهم.
لمدة خمس دقائق في الطابق التجاري.
D. لا شيء مما سبق.
= 1.00 يورو. ويبلغ سعر الصرف الحالي 1.25 دولار = 1.00 يورو؛ معدل الولايات المتحدة الخالية من المخاطر هو 5٪ خلال الفترة و.
اليورو منطقة خالية من المخاطر معدل 4٪. ويبلغ تقلب األصول األساسية 10.7٪.
D. لا شيء مما سبق.
سعر الإضراب هو $ 1 = ¥ 100. وتبلغ نسبة التقلب 25 في المائة سنويا؛ ص.
D. لا شيء مما سبق.
ويؤكد أن التسعير خيار الحدين يستخدم على نطاق واسع في الممارسة، وخاصة من قبل البنوك الدولية في.
تداول خيارات أوتك.
يعمل بشكل جيد لتسعير خيارات العملة الأمريكية التي هي في المال أو خارج من المال.
جيم لا تفعل جيدا في تسعير المكالمات في المال ويضع.
A. واجهت صعوبات بسبب البيانات غير المتزامنة.
تشير إلى أنه عند استخدام بيانات الأسعار في وقت واحد ودمج تكاليف المعاملات يستنتجون ذلك.
يتم تسعير خيارات العملة الأمريكية فلكه بكفاءة.
تشير إلى أن نموذج التسعير الخيار الأوروبي يعمل بشكل جيد لتسعير خيارات العملة الأمريكية التي.
هي خارج أو خارج المال، ولكن لا تفعل جيدا في تسعير المكالمات في المال ويضع.

تنظيم تداول الخيارات
ويدعي هذا التطبيق الاستفادة من الأولوية لطلبات براءات الاختراع المؤقتة الأمريكية. رقم 60 / 560،732، المودع في 22 يناير 2004، و 60 / 583،347، المقدم في يونيو 29، 2004.
والخيار هو عقد يمثل الحق في شراء (خيار الاتصال) أو بيع (خيار الخيار) مبلغ محدد من الضمان الأساسي بسعر ثابت محدد سلفا خلال فترة زمنية محددة. وعادة ما تكون الأوراق المالية الأساسية هي أسهم الأسهم أو الصناديق المتداولة في البورصة أو مؤشرات الأوراق المالية أو السندات أو العملات الأجنبية. السعر الثابت أو "سعر الإضراب" هو السعر الذي يمكن بموجبه شراء الضمان الأساسي، في حالة خيار الاتصال أو بيعه، في حالة خيار الشراء.
يدفع المشتري أو صاحب الخيار علاوة على الحق وليس الالتزام، لممارسة عقد الخيار. عند انتهاء الصلاحية، يصبح الخيار لا قيمة له. ويفترض بائعو الخيارات التزاما قانونيا بموجب عقود الخيارات للوفاء بالعقود إذا تم تعيين الخيارات لهم، في حين أن الأقساط هي مدى المخاطر المحتملة على مشترين الخيارات. خيارات تفقد القيمة مع الوقت المعروف باسم "تسوس الوقت"، والتي يتم تسعيرها إلى قسط قسط يدفعه المشتري.
خيارات يمكن استخدامها في مجموعة متنوعة من الطرق للاستفادة من الارتفاع أو الانخفاض في السوق. شراء خيار يوفر مخاطر محدودة وإمكانات الربح غير محدودة. ومع ذلك، فإن بيع أو كتابة أحد الخيارات يوفر التزاما بأداء ما إذا اختار الطرف الذي يشتري الخيار أن يمارسه. وبالتالي فإن بيع أو كتابة أحد الخيارات يعرض البائع مع إمكانية محدودة للربح وخطر كبير ما لم يتم التحوط بشكل صحيح. ويتوقع البائعون أو كتاب الخيارات عادة أن يظل سعر الأمن الأساسي ثابتا أو يتحرك في الاتجاه المطلوب. في مقابل التزاماتهم، يتلقى الكتاب دفعة نقدية مقدما أو علاوة من المشترين.
يتم تداول الخيارات في الأوراق المالية والسلع التبادلات ومن خلال السوق دون وصفة طبية ("أوتك") السوق. وفيما يتعلق بتداول الخيارات في البورصات، تقوم البورصات المالية عموما بإدراج الخيارات التجارية والخيارات المتعلقة بالأسهم والصناديق المتداولة في البورصة، والسندات، والإيصالات المصدرة من الأمانة، والأوراق المالية الأخرى، والعملات الأجنبية. وتقوم عمليات تبادل السلع عموما بعقود وتداول العقود الآجلة بشأن العقود الآجلة. يتم إدراج الخيارات المبنية مباشرة على ضمانات أو أوراق مالية مضمنة فقط ويتم تداولها في أسواق الأوراق المالية.
الشروط الموحدة لخيارات الأوراق المالية المتداولة في البورصة تشمل الحجم، وتاريخ انتهاء الصلاحية، وأسلوب ممارسة الرياضة وممارسة أو سعر الإضراب. إن إنشاء شركة مقاصة الخيارات (أوك) عندما بدأ تداول الخيارات الموحدة للأوراق المالية في عام 1973 قد أزال تقريبا خطر الطرف المقابل (أي خطر أن يخرق الطرف الآخر العقد). أوك هي المصدر الوحيد والضمان المالي لجميع خيارات الأوراق المالية المتداولة من قبل أسواق الأوراق المالية الأمريكية. وفيما يتعلق بآليات إدراج عقود الخيارات الموحدة، وضعت أوك جنبا إلى جنب مع خيارات الخيارات في الولايات المتحدة تسميات لوصف الخيارات المختلفة على أنها "فئات الخيارات" أو "سلسلة الخيارات". يعني مصطلح "فئة الخيار" جميع عقود الخيارات الخاصة ب نفس النوع من العقود التي تغطي نفس الأمن الأساسي. يقصد بمصطلح "سلسلة الخيارات" جميع الخيارات لنفس البنود المدرجة في القائمة، بما في ذلك نفس شهر انتهاء الصلاحية.
هناك نوعان من الخيارات الموحدة أو تبادل المتداولة - يدعو ويضع. ويعطي خيار المكالمة لصاحب الحق الحق، وليس الالتزام، بشراء مبلغ محدد من الضمان الضمني بسعر محدد خلال فترة زمنية محددة مقابل مبلغ قسط. ويأمل المشتري في خيار المكالمة أن يرتفع سعر الضمان الأساسي بحلول تاريخ انتهاء صلاحية المكالمة، في حين يأمل البائع أن يظل سعر الضمان الأساسي ثابتا أو ينخفض.
يعطي خيار الخيار حق الحامل، وليس الالتزام، لبيع مبلغ محدد من الضمان الضمني بسعر محدد خلال فترة زمنية محددة مقابل مبلغ قسط. ويأمل المشتري في خيار الشراء أن ينخفض ​​سعر السهم الأساسي بحلول تاريخ انتهاء الصلاحية، في حين يأمل البائع أن يظل سعر الضمان الأساسي ثابتا أو يزداد.
سعر الإضراب هو السعر الثابت لعقد الخيار الذي يمكن بموجبه شراء الضمان (الدعوة) أو بيعه (وضعه) في أي وقت قبل تاريخ انتهاء صلاحية الخيار إذا تم ممارسة الخيار. ويحدد تاريخ انتهاء الصلاحية آخر يوم يمكن فيه ممارسة الخيار. خيارات موحدة أو تبادل المتاجرة تسمح عادة اثنين (2) أنواع من التمارين: (ط) على النمط الأمريكي و (2) على النمط الأوروبي. يمكن ممارسة الخيارات على الطراز الأمريكي في أي وقت قبل انتهاء الصلاحية بينما يمكن ممارسة النمط الأوروبي فقط في تاريخ انتهاء الصلاحية. الخيارات المتداولة في البورصة لها شهر انتهاء وتنتهي عادة في السبت الثالث من شهر انتهاء الصلاحية. وهناك شكل ثالث من التمارين الرياضية، والذي يستخدم أحيانا مع خيارات دون وصفة طبية ("أوتك")، هو ممارسة برمودا. يمكن ممارسة خيار نمط برمودا على عدة تواريخ محددة قبل انتهاء الصلاحية.
يمثل المبلغ المميز السعر الفعلي الذي يدفعه المستثمر لشراء خيار أو استلام لبيع خيار. ويكون "العرض" هو أعلى سعر يدفعه المشتري المحتمل للخيار، في حين أن "الطلب" هو أدنى سعر مقبول للبائع المحتمل. تعرف أسعار "الطلب" و "العرض" باسم "عروض الأسعار" التي يتم نشرها من خلال تبادل الخيارات من خلال هيئة الإبلاغ عن أسعار الخيارات (أوبرا) مع الفرق بين عرض التسعير وسؤال يعرف باسم " ".
إن تسعير عقود الخيارات أمر معقد. الأساس في عملية حساب سعر للخيار محدد في نموذج تسعير خيارات بلاك سكولز (انظر بلاك، F. & أمب؛ سكولز، M. (1973)، التسعير للخيارات والمطلوبات المؤسسية "، مجلة الاقتصاد السياسي، 81، 637-654). وعلى الرغم من أنه تم تطويره في أوائل السبعينات، إلا أن نموذج التسعير هذا يظل إطار التسعير الأساسي لممارسي الخيارات. في السنوات اللاحقة، تم تطوير العديد من الاختلافات من نموذج التسعير خيارات بلاك سكولز لمعالجة مباشرة الافتراضات والسيناريوهات متفاوتة. المكونات الرئيسية التي تؤثر على السعر أو العلاوة هي السعر الحالي للأمن الأساسي، ونوع الخيار، وسعر الإضراب مقارنة بسعر السوق الحالي للأمن الأساسي، ومقدار الوقت المتبقي لانتهاء الصلاحية، وتقلب الأمن الأساسي وأسعار الفائدة.
مبلغ القسط هو عموما القيمة الجوهرية (سعر الإضراب مطروحا منه القيمة الحالية للأمن الأساسي) بالإضافة إلى قيمة الوقت. القيمة الجوهرية للخيار يقيس المبلغ الذي يكون الخيار "في المال" بالمقارنة مع سعر الإضراب. وبالتالي فإن القيمة الجوهرية لخيار المكالمة هي سعر السوق للأوراق المالية الأساسية مطروحا منها سعر الإضراب للخيار، والقيمة الجوهرية لخيار الشراء هي سعر الإضراب مطروحا منه سعر السوق. ويعتمد جزء القيمة الزمنية للعالوة على تقلب األمان األساسي. التقلب هو مقياس للمبلغ الذي من المتوقع أن يتقلب الأمن الكامن في فترة معينة من الزمن. وتتطلب خيارات الأسهم المتقلبة عموما علاوة أعلى بسبب المخاطر المتأصلة الأكبر.
عقود الخيارات هي شكل من أشكال الأدوات المشتقة. إن أداة المشتقات أو المشتقات هي أداة مالية تستمد قيمتها من قيمة بعض الموجودات أو المتغيرات األخرى. على سبيل المثال، خيار الأسهم هو مشتق لأنه يستمد قيمته من قيمة السهم الأساسي.
المشتقات معروفة أو مقسمة إلى نوعين (2): عادي الفانيليا والغريبة. عادة ما توفر مشتقات الفانيليا العادية هياكل بسيطة، في حين توفر المشتقات الغريبة عموما هياكل أكثر تعقيدا مصممة خصيصا لاحتياجات فردية أو استراتيجية أو حالة. وبالتالي، فإن مشتقات الفانيلا العادية عادة ما تكون أكثر شيوعا وتمثل حصة أكبر من سوق المشتقات بالمقارنة مع الغريبة.
وتصنف أدوات المشتقات أيضا بطرق مختلفة. ويتم التمييز بين المشتقات الخطية وغير الخطية. الأولى لديها مبالغ العائد التي تتصرف مثل خط، كما هو مبين في الشكل. 1 - هذه الأخيرة لديها الرسوم البيانية مكافأة مع انحناء، إما محدبة أو مقعرة، كما هو مبين في الشكل. 2، أو أن يكون لها رسوم بيانية أكثر تعقيدا، مثل تلك التي تظهر في الشكل. 3 - وبالإضافة إلى ذلك، قد يكون للمشتقات غير الخطية ثغرات في الملف الشخصي للمردود.
توفر بعض المشتقات شراء أو بيع أصل أساسي. ويمثل عقد الخيار الموحد أو التبادل التجاري النموذجي في الولايات المتحدة الحق في شراء أو بيع 100 سهم من الأصول الأساسية. وعادة ما يقال إن هذا النوع من الخيارات ينطوي على مضاعف قدره 100، أي أن سعر الشراء الفعلي يحدد من السعر المعروض مضروبا في 100.
وهناك أيضا تباين في طريقة تسوية معاملات الخيارات. ويمكن تسوية الخيارات عن طريق تسليم الأصل الأساسي ("التسوية المادية") أو بتسليم المبلغ النقدي ("التسوية النقدية"). يتم تسوية الأداة المشتقة فعليا إذا كان يتم تسليم الأصل الأساسي مقابل دفع محدد.
مع التسوية النقدية، لا يتم تسليم الأصل الأساسي فعليا. وبدلا من ذلك، تقوم المشتقة بتسوية مبلغ من المال يساوي القيمة السوقية للمشتقات عند الاستحقاق / انتهاء الصلاحية إذا كانت مشتقة جسديا (أي القيمة الجوهرية)، أو بالنسبة لبعض القيمة النقدية الأخرى التي تحدد بطريقة متفق عليها .
ويتم عادة تسوية بعض أنواع المشتقات النقدية لأن التسليم المادي سيكون غير ملائم أو مستحيل. على سبيل المثال، خيار على محفظة أو مؤشر للأسهم، مثل S & أمب؛ P 500، سيتم عموما تسويتها النقدية لملاءمة. يجب أن يكون هناك خيار على سعر الفائدة يتم تسويته نقدا لأنه لا يمكن تسليم سعر الفائدة فعليا.
نمط واحد من "الخيار الغريب" الذي هو عادة تسوية النقدية هو خيار ثنائي. الخيارات الثنائية (المعروفة أيضا باسم "الخيارات الرقمية") لها مردود غير متقطع أو غير خطي، كما هو موضح في الشكل. 3 - هناك أشكال كثيرة، ولكن اثنين من أبسط ما يلي: (1) نقدا أو لا شيء و (2) الأصول أو لا شيء. الخيارات الثنائية يمكن أن يكون النمط الأوروبي أو الأمريكي ممارسة ويمكن تنظيمها كما يدعو أو يضع.
لا يدفع ثنائي أو نقدي أوروبي مبلغا نقديا ثابتا إلا إذا كان ينتهي في المال. على سبيل المثال، إجراء مكالمة نقدية أوروبية أو لا شيء يدفع دفعة ثابتة إذا انتهت صلاحية الخيار مع الأصل الأساسي فوق سعر الإضراب. وهي تسدد صفر (0) إذا انتهت صلاحيتها مع الأصل الأساسي الذي يساوي أو يقل عن سعر الإضراب. لا تتأثر قيمة المكافأة بحجم الفرق بين الأصل أو المؤشر الأساسي وسعر الإضراب.
وبناء عليه، فإن الخيارات الثنائية هي بوضوح ضمن فئة المشتقات ذات العائد غير الخطي. على سبيل المثال، فإن خيار المكالمة الثنائية بسعر إضراب للأصل الأساسي 75 سوف يدفع نفس المبلغ إذا كان سعر الأصل الأساسي عند انتهاء الصلاحية هو 76 أو 80 أو 85 أو 95 أو أي سعر آخر فوق 75. في المقابل، فإن خيار النداء الموحد أو التبادل المتداول في النقود سوف يدفع مبالغ مختلفة على أساس كل من أسعار انتهاء الصلاحية هذه، مع زيادة المبالغ في علاقة مباشرة وخطية من سعر الإضراب.
وعادة ما يتم تداول الخيارات إما خارج البورصة أو في بورصة الأوراق المالية الوطنية المسجلة لدى هيئة الأوراق المالية والبورصة أو في سوق العقود التي تحددها لجنة تداول العقود الآجلة للسلع (كفتك). ويشار إلى سوق الأوراق المالية الوطنية المسجلة أو سوق العقود المعينة فيما يلي باسم "التبادل المنظم". وتوصف الأداة بأنها تجارة أوتك إذا كانت تتداول في سياق ما بخلاف أو من خلال التبادل المنظم. ومن المفترض أن تكون مشتقات أوتك مصممة خصيصا لاحتياجات ومتطلبات المستخدم النهائي، وبالتالي تفتقر إلى التوحيد والشفافية الموجودة في البورصات المنظمة.
يتم تداول معظم المنتجات المشتقة أوتك. في مثل هذا السوق، والمؤسسات المالية الكبيرة بمثابة تجار المشتقات، وتخصيص المنتجات لتلبية احتياجات عملاء معينين. يتم التفاوض على شروط العقد بين الطرفين، وعادة ما يكون لكل طرف الطرف المقابل فقط للنظر في أداء العقد.
وقد تم تداول الخيارات الثنائية لبعض الوقت في بيئة أوتك بين التجار المؤسساتيين ولكن ليس على تبادل الأوراق المالية الوطنية. وقد عرضت أسواق العقود "الخيارات الثنائية" استنادا إلى الأحداث الكارثية، وكذلك على بعض المؤشرات الاقتصادية مثل مؤشر أسعار المستهلك (كبي). في فرنسا وألمانيا والنمسا، تم تداول الخيارات الثنائية أوتك في سوق من جانب واحد بين المستثمرين ومؤسسة. المؤسسة في هذه الحالات هي الجهة المصدرة للعقد وتحدد، إذا كان ذلك مناسبا، السوق للخيار الثنائي.
الخيارات الثنائية أوتك لديها العديد من العيوب والعيوب. ويتمثل أحد العيوب في أن الخيارات الثنائية أوتك تقدم عادة من قبل مؤسسة على أساس غير قابل للاستبدال بحيث يمكن للعميل شراء الخيار فقط من المؤسسة، ولا يمكن إعادة بيعه بسهولة إلى طرف ثالث لأنها ليست موحدة أو يتم تداولها في البورصة . ونتيجة لذلك، فإن الخيارات الثنائية خارج البورصة، مقارنة بالخيارات الموحدة المتداولة في البورصة، تفتقر إلى السمات الهامة لسوق التداول مثل الشفافية والسيولة.
ومثال على الهيكل التنظيمي للتبادل مثل تلك التي يتم تداول بعض الخيارات حاليا هو موضح في الشكل. 4 - العملاء 410، من خلال وسيط / تجار 415، يمكن أن تقدم لشراء أو بيع خيار. وتسهل عمليات التبادل المنظمة عادة تداول الخيارات من خلال مزيج من الأنظمة الإلكترونية لتوجيه الطلبات 420، ومطابقة 435 والتنفيذ و / أو التداول بالمزاد القائم على الأرض الذي يتم باستخدام طريقة "غضبة مفتوحة"، من خلالها وسطاء المنافسة المتنافسة التي تمثل الأوامر العامة والسوق صناع التداول لحساباتهم الخاصة، تقديم العطاءات والعروض في الطابق التجاري. عادة، في النموذج القائم على الكلمة، ويتم التداول في "وظيفة" تتكون من "متخصص" 430 أو صانع السوق المعين والحشد التداول 425. وتستخدم البورصة الأمريكية (أميكس) نظاما متخصصا معدلا. وظيفة متخصصة 430 هو موقع محدد في الطابق التجاري للصرف المخصصة لتداول فئة الخيار المحدد. ويدار كل خيار يتم تداوله في وظيفة معينة من قبل متخصص مختص. الاختصاص هو عضو في إكسهانج وظيفته هي الحفاظ على سوق عادل ومنظم في فئة خيار معين. ويتحقق ذلك من خلال إدارة كتاب ترتيب الحدود وتقديم العطاءات والعروض لحسابه الخاص في غياب أوامر السوق المتقابلة، أي توفير أسواق مستمرة من جانبين. التبادلات الخيارات الأخرى لديها هياكل مماثلة لخيارات التداول، سواء الإلكترونية أو على الأرض.
وبموجب القانون، فإن خيارات الأسهم الموحدة المتداولة في الولايات المتحدة قد تحدث فقط في بورصة الأوراق المالية الوطنية المسجلة لدى المجلس الأعلى للأوراق المالية. إن الخيارات المتداولة في البورصات الوطنية يتم تداولها بشكل عام بناء على معايير األسهم المعتمدة أو مؤشرات األسهم المعتمدة والتي لديها آلية تسعير مناسبة. على سبيل المثال، يتم تداول خيارات الأسهم خلال ساعات العمل العادية لبورصات الأوراق المالية الأمريكية.
يتم إصدار جميع الخيارات الموحدة في الولايات المتحدة، تطهيرها وتسويتها وضمانها من قبل شركة المقاصة الخيار ("أوك") 445. هذه المؤسسة مملوكة على قدم المساواة وبدعم من جميع التبادلات الخيارات الأمريكية. و أوك قادرة على الاعتراف وفصل وحساب ونشر المعلومات من مختلف التبادلات، وتسهيل قابلية المبينة أعلاه في جزء كبير منه بسبب مخطط سيمبولوغي موحدة مفصلة أدناه. تعتمد نظم حساب مبالغ التسليم والدفع المستحقة بين الأطراف المشاركة على هذا التوحيد القياسي.
أما الخيارات التي يتم تداولها في البورصات الوطنية فهي موحدة، وبالتالي قابلة للتبديل من خلال استخدام شروط عقود متطابقة (مثل دورات انتهاء الصلاحية) ومعلمات محددة مسبقا. على سبيل المثال، تنتهي جميع خيارات الأوراق المالية غير المتداولة في بورصة فليكس يوم السبت بعد يوم الجمعة الثالث من أي شهر معين. المصدر من كل عقد الخيار هو أوك بغض النظر عن مكان تداول الخيارات. لا يستطيع كاتب من خيار موحد إنشاء أو اختيار تاريخ انتهاء صلاحية مختلف. الكاتب لا يمكن تغيير أو تحديد أي سعر الإضراب، ولكن لأي خيار معين، يجب أن تختار من مجموعة محددة من أسعار الإضراب المتاحة. وبالمثل، لا تتوفر جميع أشهر انتهاء الصلاحية في نفس الوقت لجميع سلاسل الخيارات الموحدة.
إحدى الاتفاقيات التي تعتبر أساسية لتوحيد الخيارات هي خطة متفق عليها يتم بموجبها تبادل جميع الخيارات وإرفاق الرموز. تسمح الاتفاقية للخيارات أن يكون لها رموز بحد أقصى 5 أحرف. كل حرف لديه 26 الاحتمالات، المقابلة ل 26 حرفا من الأبجدية. يشير الرمز الأول أو حرفين أو ثلاثة (يعرف باسم رمز الجذر) إلى الأصل الأساسي للخيار. في بعض الحالات هذا يتوافق تماما مع رمز التداول الأصول الأساسية، في حالات أخرى لا توجد علاقة بين الاثنين. الحرف / الرمز التالي يدل على قطعتين من المعلومات - ما إذا كان الخيار هو وضع أو مكالمة، وشهر انتهاء الصلاحية. يتم إدراج هذه الرموز في الجدول I. تشير الحرف النهائي إلى سعر الإضراب للخيار. وترد رموز أسعار الإضراب في الجدول الثاني.
عموما، هناك عدة أشهر انتهاء متاحة لكل خيار الأسهم. وعلاوة على ذلك، هناك عدة أسعار الإضراب المتاحة لكل شهر انتهاء الصلاحية من كل خيار. لذلك، لمخزون واحد هناك في كثير من الأحيان العديد من الخيارات سلسلة المتداولة وأنه ليس من غير المألوف أن يكون 60 خيارات مختلفة سلسلة المتاحة لأحد الأسهم أو خيارات الفئة. وهكذا، سيكون من الواضح أن لكل فئة الخيارات، قد يكون هناك عدة سلسلة الخيار، كل منها يتم تسعيرها بشكل منفصل.
على سبيل المثال، افترض أن بور كورب هو سهم يتم تداوله بشكل عام مع رمز تداول "بير" ورمز جذر الخيارات المخصصة ل "بير". قد يكون الخيار النموذجي لهذا المخزون عبارة عن استدعاء بير 70 أكتوبر. A بير أكتوبر 70 دعوة الخيار هو عقد يعطي حامل الحق في شراء 100 سهم من أسهم كور كورب سهم في 70 $ للسهم الواحد حتى السبت الثالث في أكتوبر رمز لهذا الخيار القياسي هو بيرين. ومن ثم، فإن جميع الأطراف المعنية تعترف بهذا الرمز من خلال الإشارة إلى مخطط الرموز المذكور أعلاه، حيث تشير إلى خيار ل بير للأصول (المستمدة من الأحرف الثلاثة الأولى في الرمز-بير)، وهو خيار نداء تنتهي في أكتوبر (يشار إليه ب "J")، بسعر إضراب قدره 70 (يشار إليه بالرمز "N").
وهذه الرموز الخمسة (5) هي عبارة عن اتفاقية على مستوى الصناعة لمعالجة عقود الخيارات الموحدة المتداولة في البورصة. الخيارات التي لا يمكن جعلها لتناسب ضمن 5 حرف سيمبولوغي لا يمكن تبادل التبادل، لأن أنظمة الصناعة الحالية تعترف فقط 5 حرف سيمبولوغي. وبناء على ذلك، فإن العقود الوحيدة غير المتداولة في البورصات أو عقود الخيارات الموحدة القابلة للتداول في أسواق الأوراق المالية الأمريكية حتى الآن هي الدعوات التقليدية ويعرضها أعلاه. جميع أنماط الخيارات الأخرى، بما في ذلك الخيارات الثنائية على النمط الأوروبي، قد تداولت أوتك، حيث النظم والعمليات أكثر مرونة ويمكن إجراء الاعتراف وقبول نطاق واسع من شروط العقد الخيار متفاوتة، وحيث لا يوجد مخطط سيمبولوغي للحد نطاق المنتجات.
بالنسبة للخيارات الموحدة الحالية، عند انتهاء الصلاحية يتم تحديد ما إذا كان الخيار ينتهي في، أو في، أو خارج من المال. يتم تحديد ذلك عن طريق تحديد سعر إقفال تسوية نهائي متفق عليه للأمن الأساسي، يتم مقارنته بسعر كل ضربة لتحديد ما إذا كان سعر إقفال التسوية أكبر من أو يساوي أو يقل عن سعر الإضراب. مع الخيارات الموحدة الحالية هناك إجراءات موحدة يتم اتباعها لتحديد أسعار إغلاق التسوية. على سبيل المثال، بالنسبة لخيارات الأسهم التقليدية و المكالمة، تحدد أوك سعر إقفال التسوية عن طريق أخذ آخر تداول مركب في نهاية التداول، أي الساعة 4:00 بعد الظهر. التوقيت الشرقي. وفيما يتعلق بخيارات الفهرس، تقوم سلطة الإبلاغ المعينة (أي مزود الفهرس)، كما يحددها التبادل المنظم المعين، بإجراء الحسابات اللازمة لاستخلاص قيمة إغلاق تسوية ثم ترسل هذه القيمة إلى أوسك 445. ثم تقوم أوك بمقارنة قيمة إقفال التسوية مع أسعار الإضراب الحالية لتحديد الخيارات الموجودة في، أو، أو، أو خارج المال. في حالة بعض خيارات الفهرس، يتم حساب هذه القيمة ليس من خلال النظر في أي سعر واحد لأي فهرس واحد أو الأمن في أي وقت معين، بل يتم اشتقاقها عن طريق أخذ متوسط ​​سعر مرجح الحجم (فواب) للأوراق المالية الأساسية على مدى فترة معينة من الزمن.
Standardized call and put equity options traded on the options exchange require a holder to tender exercise instructions in order for the option to be exercise or not exercised at expiration. For the purpose of convenience, the OCC, as issuer, has implemented an “Exercise-by-Exception” procedure which will exercise an option without specific exercise instructions if the option is in-the-money by the exercise threshold amount or more. The exercise threshold amount is [$0.25] per share in-the-money for customer accounts and [$0.15] per share in-the-money for firm and market maker accounts. The exercise threshold amount effectively triggers an automatic exercise. The application of the “Exercise-by-Exception” procedure will occur in all cases except where a holder of an option delivers contrary instructions. Binary options or “Fixed Return Options” SM (“FRO” SM or “FROs” SM ) are automatically exercised under the terms of the contract, and therefore, the affirmative obligation to tender instructions as well as the “Exercise-by-Exception” procedure is unnecessary. This feature significantly differentiates FROs from traditional, exchange-traded options.
It has long been recognized that in order for a market to remain viable, participants must have a level of comfort and trust that they are transacting in a “fair” environment. Organized exchanges in the U. S. operate under specific legislative mandates to maintain “fair and orderly” markets. Since the adoption of the Securities Exchange Act of 1934, which created the SEC, particular focus has been paid to ensure that markets are not susceptible to manipulation. The SEC was created in part to stem the specific practice of “gaming” or manipulating stock prices such as was done by “short sellers” leading up to the stock market crash of 1929. Market fairness and integrity is a necessary underpinning of any market, as well as in the trading in any particular product or security upon any market.
The exact price at which any security closes on any given day can have important consequences. As discussed above, the closing price of an underlying security prior to expiration of an option has particular importance, as it is that value which dictates whether the option closes in, at or out-of-the-money. Accordingly, significant regulatory and surveillance efforts are employed by organized exchanges, self-regulatory organizations (SROs) and other regulatory bodies in an effort to detect, deter and eliminate potential manipulation of an underlying security that is near an option strike price at expiration.
Tremendous liquidity has been achieved in the exchange-traded options market, largely the result of standardization. The primary benefit of standardization and the reason for the tremendous liquidity is the interchangability or fungibility of option contracts regardless of where the option was originally executed. As a result, multiple contra-parties may exist. In the OTC markets, this benefit does not exist. In the case of multiply-listed or multiply-traded options (option classes listed and traded on more than one options exchange), standardization makes it possible to purchase an option contract on one exchange, and then sell it on another. Binary options have never been traded on a national securities exchange in a standardized form. There is a need in the art to provide liquidity in the binary options market, and there thus exists a need in the art for systems and methods for trading binary options on an exchange in a standardized form.
ملخص الاختراع.
An embodiment of the invention generally relates to a binary option, herein referred to as a FRO financial product, and the systems and methods applied to enable the product to trade in standardized format on an organized exchange.
An embodiment of the invention generally relates to the unique use and adaptation of the five (5)-character maximum option symbology scheme, or any other adaptations of such options symbology scheme in the future, to allow for the recognition and differentiation of FROs or binary options from traditional exchange-traded options within that scheme, thus making possible the standardized trading, clearing, and settlement of FROs or binary options.
An embodiment of the invention generally relates to a specific method, uniquely applied, for calculating the closing settlement value of a security underlying a FRO or binary option, which method and application create necessary conditions for the trading of these instruments in standardized format on an organized exchange.
An embodiment of the invention is a method for trading fixed return options comprising listing a FRO in standardized form on an organized exchange, and clearing and settling the FRO using the same systems used on the exchange to clear and settle standardized, non-binary options. The method may further comprise the step of assigning symbols to the FRO that comply with the symbol conventions of standard exchange-traded options. The method may further comprise the step of processing transactions involving the FRO using existing trading, clearance, margin, and settlement systems based on the symbols assigned to the FRO. The method may further comprise the step of calculating the closing settlement value of a security underlying the FRO using a volume weighted average price (VWAP) of the security. In one embodiment, the VWAP of the security may be calculated over a pre-determined amount of time on the last regular trading day prior to expiration of the FRO. The method may further comprise the step of assigning a multiplier code for the FRO which provides information about the FRO for the systems used on the exchange to clear and settle standardized, non-binary options.
Another embodiment of the invention is a system for trading a FRO, comprising an electronic order delivery and execution system in an exchange-trading environment, wherein the same electronic order delivery and execution system used to execute transactions in and deliver the FRO is used to execute transactions in and deliver standard, non-binary options. The system may further include a means for assigning symbols to the FRO that comply with the symbol conventions of standard exchange-traded options. The system may further include a means for processing transactions involving the FRO using existing trading, clearance, margin, and settlement systems based on the symbols assigned to the FRO. The system may further include means for calculating the closing settlement value of a security underlying the FRO using a VWAP of the security. In one embodiment, the FRO may be traded through an on-floor auction in the trading crowd. The system may further include means for assigning symbols to the FRO that comply with the symbol conventions of standard exchange-traded options. The system may further include means for calculating the closing settlement value of a security underlying the FRO using a VWAP of the security. In one embodiment, a multiplier code for the FRO provides information about the fixed return option for the systems used on the exchange to clear and settle standardized, non-binary options.
Another embodiment of the invention is a computer program product for listing FROs on an exchange, comprising instructions for assigning symbols to the FRO that comply with the symbol conventions of standard exchange-traded options. In one embodiment, the symbols provide sufficient information for existing trading, clearance, margin, and settlement systems to process transactions involving the FRO based on the symbols assigned by the computer program product to the FRO. In one embodiment, a second computer program product computes a closing settlement value of a security underlying the FRO using a VWAP of the security. The second computer program product may include means for inputting data from an exchange or exchanges comprising the number of shares of the underlying security and the price of the underlying security for a predetermined amount of time before market close. The computer program product may comprise an instruction for assigning a multiplier code for the FRO that provides information about the FRO for the systems used on the exchange to clear and settle standardized, non-binary options.
BRIEF DESCRIPTIONS OF THE DRAWINGS.
تين. 1 is a graph illustrating a linear payoff relation between the price of an option and the value of the underlying security.
تين. 2 is a graph illustrating non-linear payoff relations between the price of an option and the value of the underlying security.
تين. 3 is a graph illustrating a binary payoff relationship between the price of an option and the value of the underlying security.
تين. 4 illustrates an exemplary order routing and trading network on which embodiments of the fixed return options of the present invention may be traded.
تين. 5 is a flow diagram illustrating one example of the “Finish-High” embodiments of the invention.
تين. 6 is a flow diagram illustrating one example of the “Finish-Low” embodiments of the invention.
تين. 7 is a flow diagram illustrating one example of the “Target” embodiments of the invention.
تين. 8 is a flow diagram illustrating an embodiment of a method of the invention for assigning symbols to FROs.
For simplicity and illustrative purposes, the principles of the present invention are described by referring mainly to the embodiment as intended to be employed by the Amex. However, one of ordinary skill in the art would readily recognize that the embodiments of the invention are equally applicable to, and can be implemented in, many types of organized exchange processing systems, and that any such variations do not depart from the true spirit and scope of the present invention. Moreover, while in the following detailed description, references are made to the accompanying figures, which illustrate specific embodiments, changes may be made to the embodiments without departing from the spirit and scope of the present invention. The following detailed description is, therefore, not to be taken in a limiting sense and the scope of the present invention is defined by the appended claims and their equivalents.
An embodiment of the invention generally relates to the trading of a FRO financial product, i. e., a type of derivative security commonly known as a binary option, in a standardized format on an organized exchange. In one embodiment, the performance or payoff of the FRO financial product is based on the predicted performance of an underlying security over a predetermined amount of time. In various embodiments, the underlying security may be stock, security indexes, exchange-traded funds, bonds, commodities, or other types of financial instruments, assets or any other item of economic significance. FROs are unique compared to existing standardized options trading on national securities exchanges due to their non-linear, fixed amount payout structure. No existing standardized option currently trading on organized exchanges has such structure. Instead, existing standardized put and call options on securities have a linear payout structure linked to the difference between the option's strike price and the value of the underlying security.
In some embodiments, the FRO financial products of the invention have three broad types or classes of products based on the predicted performance of the underlying security. First, as illustrated in FIG. 5 , “Finish-High” SM 510 is a class of FRO financial products in which the writer pays a predetermined amount of cash 550 when the settlement value of an underlying security exceeds a predetermined fixed value, i. e., strike price on a predetermined expiration date 530 . If the settlement value is less than the strike price, the writer pays nothing 540 . On or before the purchase of the “Finish-High” FRO, the predetermined payoff value, the strike price, and the expiration date are set ( 520 ).
A second example of an embodiment of the FRO financial product class, illustrated in FIG. 6 , is the “Finish-Low”™ FRO product 610 . On or before the sale of the “Finish-Low” FRO, a predetermined payoff value, the strike price, and the expiration date are set ( 620 ). A writer of the “Finish-Low” FRO financial product pays a predetermined amount of cash ( 650 ) when the settlement value of an underlying security falls below the strike price on the expiration date ( 630 ). If the settlement price of the underlying security is greater than the strike price, the writer pays nothing ( 640 ).
A third example of an embodiment of the FRO financial product class, illustrated in FIG. 7 , is the “Target” FRO financial product 710 . In this embodiment, the “Target” FRO financial product pays a fixed amount of cash when the settlement value of the underlying security is within a range of two strike prices at the expiration date. On or before the sale of the “Target” FRO, two predetermined strike prices, a first lower strike price and a second upper strike price, are set, along with the expiration date 720 . If, on the expiration date, the settlement value of the underlying security is greater than the first strike price 730 , and is less than the second strike price 750 , then the writer pays the payoff price 770 . If either of those conditions is not met, however, the writer pays nothing ( 740 , 760 ).
In some embodiments, the strike prices for the FRO financial product may be quoted based on existing exchange-traded options intervals with a minimum price variation (MPV) expected at $0.05. The current MPV for standardized options is set by Exchange rule approved by the SEC to accommodate a finite trading capacity. While not limited to such, strike prices may be initially established at levels up to 10% to 20% above or below the price of the underlying security, e. g., a stock, exchange-traded fund share, trust issued receipt, index or the like. Such a limitation is practical to avoid creating options for which there would be very little demand because of the small likelihood that much greater price fluctuations would occur.
In one aspect of an embodiment of the invention, the OCC will issue and clear transactions in FROs as it currently does for all existing standardized options. As a result, the OCC will revise the Options Disclosure Document to include a description of FROs and amend its rules and by-laws to reflect the non-linear, fixed amount payout structure of FROs.
In order to allow the FRO financial product to trade on secondary markets, one embodiment of the invention is a method for listing the FRO financial product, and having the product recognized by the various systems used currently for the listing, trading, transmitting, clearing and settling of standardized options, including those systems utilized by the OCC. Systems used by the OCC and other parties to give proper routing and accounting treatment to particular financial products, such as systems that recognize various product types and calculate appropriate margin amounts for particular products, must be adapted to recognize the FRO instruments as separate and distinct. To that end, a mapping algorithm may be utilized to create symbols that represent the underlying security, the fact that the option is a binary option or FRO as opposed to a typical put or call option, the expiration date and the strike price, where the symbols are then listed for trading on an exchange. In some embodiments, a computer means may be used to execute the mapping algorithm to create FRO symbols.
As illustrated in FIG. 8 , when implemented by an individual and/or a computer program, the mapping algorithm assigns a root symbol for the underlying security 810 . The root symbol may comprise up to three characters. The root symbol will be unique, and specifically must be different from the root symbol for the non-FRO related to the same underlying asset. An expiration symbol is generated for the expiration date of the FRO product and concatenated to the root symbol 820 . Subsequently, a strike price symbol is generated for the strike price for the underlying security and concatenated to the existing combination of the root symbol and expiration symbol 830 . Thus, a new Finish-High FRO financial product, for example, with symbol “XYZLS” (where “XYZ” has been assigned as a root symbol defining “FRO root for underlying asset PQR”) will now be recognized as a standardized binary option—specifically the PQR December 95 Finish High. In this embodiment, the “XYZ” characters in the FRO symbol denote two elements of the instrument—that the instrument is a FRO as well as the underlying asset.
In one embodiment, the mapping algorithm may be implemented as a computer program module to be integrated with an existing exchange, e. g., the Amex. In other embodiments, the expiration symbol and strike price symbols utilize the existing option contract symbol library for their respective symbol. It is within the scope of the invention that other symbol libraries may be used for the root, expiration, and strike price symbols. For example, in the case of the “Target” FRO, a new library of barrier ranges may be defined to correlate to the 26 character choices for the last strike price character in the traditional five (5) character symbol chain. More specifically, in one embodiment, the symbology scheme for the last two characters of standardized exchange traded options is set forth in Table III (below) and Table II (above), respectively.
In yet other embodiments, the “Finish High” FRO financial product is processed as a call option and the “Finish Low” FRO financial product is processed as a put option. In other embodiments involving a “Target” FRO, the root symbol may indicate that the option is a “Target” FRO, the identity of the underlying security, and the expiration month. This leaves the remaining two characters to indicate the lower and upper strike prices.
A benefit of the FRO financial product is that the purchaser and writer of the FRO financial product know the expected return at the time of purchase if the underlying security performs as expected. In contrast, the “traditional” option does not typically have a known return at the time of purchase, i. e., the return cannot be accurately determined until the option is nearing expiration due to price movements. In addition, because the return on the FRO financial product is a “fixed amount,” a buyer of the FRO financial product does not need to determine the absolute magnitude of the underlying security's price movement relative to the strike price as is the case with traditional options. Yet another benefit of the FRO financial product is the limited risk/return to the writer/purchaser because of the payout being a fixed dollar amount.
A systemic benefit provided by the FRO financial product versus their OTC binary option counterpart is that standardized clearing and settlement systems may be programmed to recognize FROs based on their unique underlying symbols and segregation for particular treatment by systems used for calculating permissible margin as well as final payout amounts due at settlement. Thus, existing clearing and settlement systems may easily be adapted to handle transactions in FROs without any structural changes to the systems, and with only minimal effort.
In various embodiments of the invention, the fixed return amount for FROs may be set for all FROs at some standard price. For example, the fixed return amount in cash for all such options may be fixed at $100.00, but the price of the options will vary according to the supply and demand forces of the marketplace.
In some embodiments of the invention, the multiplier of the FRO may be 100 as with traditional standardized options. With respect to traditional options, the 100 multiplier indicates that 100 shares of the underlying security are represented by a single option. As a result, the quoted price is multiplied by 100 to derive the actual contract purchase price or premium in dollars. While the payoff amount of FROs will not necessarily depend on this multiplier like standard options' payoff amounts do, it may be convenient to adopt the standard 100 multiplier in order to more easily adapt existing options trading systems to trading in FROs. In other embodiments of the invention, the FRO financial product may employ a different multiplier that the existing convention of “100.” In these embodiments, the systems and processes for trading conventional options may then simply use the different multiplier code as an additional or distinct method for identifying options as FROs and, therefore, segregating them for appropriate routing and processing.
In one embodiment of the invention, a different processing method may be utilized for calculating the “closing” or “settlement” price of the underlying asset than that used for typical exchange-traded options with the same underlying asset. Thus, whereas typical exchange-traded equity options have a settlement price determined by the OCC based on a “composite price,” i. e., the last reported sale price of the security during regular trading hours, the settlement price for FROs may be based on either the OCC's composite price, or on some other measure of the price of the underlying asset.
Thus, in some embodiments of the invention, calculation of a volume weighted average price (VWAP) for the underlying asset over some designated time period (e. g. the last 15 minutes of trading) may be utilized to calculate and disseminate a discrete closing or settlement value for the FRO financial product. This embodiment protects against any potential price manipulation that could occur at expiration motivated by the non-linear or “all-or-nothing” nature of FROs. Thus, whereas the standard composite pricing mechanism used by the OCC is subject to manipulation by unscrupulous options traders by last-minute, small volume trading, the VWAP pricing mechanism makes it much less practical to manipulate the price of the underlying securities in order to meet the strike price.
Calculation of the VWAP may be accomplished using the following algorithm, for example, a computer means with pricing inputs from one or more exchanges or markets. An amount of time prior to the market close at expiration is selected, for example, 15 minutes. During that time, each transaction involving the underlying security is recorded as a number of shares sold and a selling price for those shares. For each transaction involving the underlying security during the preselected time, the number of shares is multiplied by the selling price for those shares to calculate a transaction price. The transaction price for each transaction involving the underlying security during the preselected time is added, and the total is divided by the total number of underlying securities sold during the preselected time:
VWAP = ∑ i n i P i ∑ i n i.
where n i is the number of shares of the underlying sold in transaction i (which occurred during the predetermined time before market close), P i is the price of those shares, and the index i includes all transactions involving the underlying security during the preselected time before market close. In one embodiment, the VWAP settlement price may be disseminated by the exchanges that list the FRO as the official settlement price for the FRO, and may be made publicly available through various market data vendors as well as on the exchanges' websites. In one embodiment, certain trade types reported during the VWAP period, such as “out-of-sequence” trades, may be excluded from the VWAP calculation.
In yet another embodiment of the invention, where processing systems have distinct fields for identifying product types, product classes; or product codes, or for identifying product sub-types, sub-classifications or sub-codes for segregating and various distinct processing of different products, a unique product type, class, code or any other unique identifier may be attached to FROs so that they may be recognized as such by systems and individuals for appropriate processing.

A History of Futures Trading in the United States.
Joseph Santos, South Dakota State University.
Many contemporary [nineteenth century] critics were suspicious of a form of business in which one man sold what he did not own to another who did not want it… Morton Rothstein (1966)
Anatomy of a Futures Market.
The Futures Contract.
A futures contract is a standardized agreement between a buyer and a seller to exchange an amount and grade of an item at a specific price and future date. The item or underlying asset may be an agricultural commodity, a metal, mineral or energy commodity, a financial instrument or a foreign currency. Because futures contracts are derived from these underlying assets, they belong to a family of financial instruments called derivatives .
Traders buy and sell futures contracts on an exchange – a marketplace that is operated by a voluntary association of members. The exchange provides buyers and sellers the infrastructure (trading pits or their electronic equivalent), legal framework (trading rules, arbitration mechanisms), contract specifications (grades, standards, time and method of delivery, terms of payment) and clearing mechanisms (see section titled The Clearinghouse ) necessary to facilitate futures trading. Only exchange members are allowed to trade on the exchange. Nonmembers trade through commission merchants – exchange members who service nonmember trades and accounts for a fee.
The September 2004 light sweet crude oil contract is an example of a petroleum (mineral) future. It trades on the New York Mercantile exchange (NYM). The contract is standardized – every one is an agreement to trade 1,000 barrels of grade light sweet crude in September, on a day of the seller’s choosing. As of May 25, 2004 the contract sold for $40,120=$40.12x1000 and debits Member S’s margin account the same amount.
The Clearinghouse.
The clearinghouse is the counterparty to every trade – its members buy every contract that traders sell on the exchange and sell every contract that traders buy on the exchange. Absent a clearinghouse, traders would interact directly, and this would introduce two problems. First, traders. concerns about their counterparty’s credibility would impede trading. For example, Trader A might refuse to sell to Trader B, who is supposedly untrustworthy.
Second, traders would lose track of their counterparties. This would occur because traders typically settle their contractual obligations by offset – traders buy/sell the contracts that they sold/bought earlier. For example, Trader A sells a contract to Trader B, who sells a contract to Trader C to offset her position, and so on.
The clearinghouse eliminates both of these problems. First, it is a guarantor of all trades. If a trader defaults on a futures contract, the clearinghouse absorbs the loss. Second, clearinghouse members, and not outside traders, reconcile offsets at the end of trading each day. Margin accounts and a process called marking-to-market all but assure the clearinghouse’s solvency.
A margin account is a balance that a trader maintains with a commission merchant in order to offset the trader’s daily unrealized loses in the futures markets. Commission merchants also maintain margins with clearinghouse members, who maintain them with the clearinghouse. The margin account begins as an initial lump sum deposit, or original margin.
To understand the mechanics and merits of marking-to-market, consider that the values of the long and short positions of an existing futures contract change daily, even though futures trading is a zero-sum game – a buyer’s gain/loss equals a seller’s loss/gain. So, the clearinghouse breaks even on every trade, while its individual members. positions change in value daily.
With this in mind, suppose Trader B buys a 5,000 bushel soybean contract for $9.70 from Trader S. Technically, Trader B buys the contract from Clearinghouse Member S and Trader S sells the contract to Clearinghouse Member B. Now, suppose that at the end of the day the contract is priced at $9.71. That evening the clearinghouse marks-to-market each member’s account. That is to say, the clearinghouse credits Member B’s margin account $50 and debits Member S’s margin account the same amount.
Member B is now in a position to draw on the clearinghouse $50, while Member S must pay the clearinghouse a $50 variation margin – incremental margin equal to the difference between a contract’s price and its current market value. In turn, clearinghouse members debit and credit accordingly the margin accounts of their commission merchants, who do the same to the margin accounts of their clients (i. e., traders). This iterative process all but assures the clearinghouse a sound financial footing. In the unlikely event that a trader defaults, the clearinghouse closes out the position and loses, at most, the trader’s one day loss.
Active Futures Markets.
Futures exchanges create futures contracts. And, because futures exchanges compete for traders, they must create contracts that appeal to the financial community. For example, the New York Mercantile Exchange created its light sweet crude oil contract in order to fill an unexploited niche in the financial marketplace.
Not all contracts are successful and those that are may, at times, be inactive – the contract exists, but traders are not trading it. For example, of all contracts introduced by U. S. exchanges between 1960 and 1977, only 32% traded in 1980 (Stein 1986, 7). Consequently, entire exchanges can become active – e. g., the New York Futures Exchange opened in 1980 – or inactive – e. g., the New Orleans Exchange closed in 1983 (Leuthold 1989, 18). Government price supports or other such regulation can also render trading inactive (see Carlton 1984, 245).
Futures contracts succeed or fail for many reasons, but successful contracts do share certain basic characteristics (see for example, Baer and Saxon 1949, 110-25; Hieronymus 1977, 19-22). To wit, the underlying asset is homogeneous, reasonably durable, and standardized (easily describable); its supply and demand is ample, its price is unfettered, and all relevant information is available to all traders. For example, futures contracts have never derived from, say, artwork (heterogeneous and not standardized) or rent-controlled housing rights (supply, and hence price is fettered by regulation).
Purposes and Functions.
Futures markets have three fundamental purposes. The first is to enable hedgers to shift price risk – asset price volatility – to speculators in return for basis risk – changes in the difference between a futures price and the cash, or current spot price of the underlying asset. Because basis risk is typically less than asset price risk, the financial community views hedging as a form of risk management and speculating as a form of risk taking.
Generally speaking, to hedge is to take opposing positions in the futures and cash markets. Hedgers include (but are not restricted to) farmers, feedlot operators, grain elevator operators, merchants, millers, utilities, export and import firms, refiners, lenders, and hedge fund managers (see Peck 1985, 13-21). Meanwhile, to speculate is to take a position in the futures market with no counter-position in the cash market. Speculators may not be affiliated with the underlying cash markets.
To demonstrate how a hedge works, assume Hedger A buys, or longs, 5,000 bushels of corn, which is currently worth $2.40 per bushel, or $12,000=$2.40×5000; the date is May 1 st and Hedger A wishes to preserve the value of his corn inventory until he sells it on June 1 st . To do so, he takes a position in the futures market that is exactly opposite his position in the spot – current cash – market. For example, Hedger A sells, or shorts, a July futures contract for 5,000 bushels of corn at a price of $2.50 per bushel; put differently, Hedger A commits to sell in July 5,000 bushels of corn for $12,500=$2.50×5000. Recall that to sell (buy) a futures contract means to commit to sell (buy) an amount and grade of an item at a specific price and future date.
Absent basis risk, Hedger A’s spot and futures markets positions will preserve the value of the 5,000 bushels of corn that he owns, because a fall in the spot price of corn will be matched penny for penny by a fall in the futures price of corn. For example, suppose that by June 1 st the spot price of corn has fallen five cents to $2.35 per bushel. Absent basis risk, the July futures price of corn has also fallen five cents to $2.45 per bushel.
So, on June 1 st , Hedger A sells his 5,000 bushels of corn and loses $250=($2.35-$2.40)x5000 in the spot market. At the same time, he buys a July futures contract for 5,000 bushels of corn and gains $250=($2.50-$2.45)x5000 in the futures market. Notice, because Hedger A has both sold and bought a July futures contract for 5,000 bushels of corn, he has offset his commitment in the futures market.
This example of a textbook hedge – one that eliminates price risk entirely – is instructive but it is also a bit misleading because: basis risk exists; hedgers may choose to hedge more or less than 100% of their cash positions; and hedgers may cross hedge – trade futures contracts whose underlying assets are not the same as the assets that the hedger owns. So, in reality hedgers cannot immunize entirely their cash positions from market fluctuations and in some cases they may not wish to do so. Again, the purpose of a hedge is not to avoid risk, but rather to manage or even profit from it.
The second fundamental purpose of a futures market is to facilitate firms’ acquisitions of operating capital – short term loans that finance firms’ purchases of intermediate goods such as inventories of grain or petroleum. For example, lenders are relatively more likely to finance, at or near prime lending rates, hedged (versus non-hedged) inventories. The futures contact is an efficient form of collateral because it costs only a fraction of the inventory’s value, or the margin on a short position in the futures market.
Speculators make the hedge possible because they absorb the inventory’s price risk; for example, the ultimate counterparty to the inventory dealer’s short position is a speculator. In the absence of futures markets, hedgers could only engage in forward contracts – unique agreements between private parties, who operate independently of an exchange or clearinghouse. Hence, the collateral value of a forward contract is less than that of a futures contract. 3.
The third fundamental purpose of a futures market is to provide information to decision makers regarding the market’s expectations of future economic events. So long as a futures market is efficient – the market forms expectations by taking into proper consideration all available information – its forecasts of future economic events are relatively more reliable than an individual’s. Forecast errors are expensive, and well informed, highly competitive, profit-seeking traders have a relatively greater incentive to minimize them.
The Evolution of Futures Trading in the U. S.
Early Nineteenth Century Grain Production and Marketing.
Into the early nineteenth century, the vast majority of American grains – wheat, corn, barley, rye and oats – were produced throughout the hinterlands of the United States by producers who acted primarily as subsistence farmers – agricultural producers whose primary objective was to feed themselves and their families. Although many of these farmers sold their surplus production on the market, most lacked access to large markets, as well as the incentive, affordable labor supply, and myriad technologies necessary to practice commercial agriculture – the large scale production and marketing of surplus agricultural commodities.
At this time, the principal trade route to the Atlantic seaboard was by river through New Orleans 4 ; though the South was also home to terminal markets – markets of final destination – for corn, provisions and flour. Smaller local grain markets existed along the tributaries of the Ohio and Mississippi Rivers and east-west overland routes. The latter were used primarily to transport manufactured (high valued and nonperishable) goods west.
Most farmers, and particularly those in the East North Central States – the region consisting today of Illinois, Indiana, Michigan, Ohio and Wisconsin – could not ship bulk grains to market profitably (Clark 1966, 4, 15). 5 Instead, most converted grains into relatively high value flour, livestock, provisions and whiskies or malt liquors and shipped them south or, in the case of livestock, drove them east (14). 6 Oats traded locally, if at all; their low value-to-weight ratios made their shipment, in bulk or otherwise, prohibitive (15n).
The Great Lakes provided a natural water route east to Buffalo but, in order to ship grain this way, producers in the interior East North Central region needed local ports to receive their production. Although the Erie Canal connected Lake Erie to the port of New York by 1825, water routes that connected local interior ports throughout northern Ohio to the Canal were not operational prior to the mid-1830s. Indeed, initially the Erie aided the development of the Old Northwest, not because it facilitated eastward grain shipments, but rather because it allowed immigrants and manufactured goods easy access to the West (Clark 1966, 53).
By 1835 the mouths of rivers and streams throughout the East North Central States had become the hubs, or port cities, from which farmers shipped grain east via the Erie. By this time, shippers could also opt to go south on the Ohio River and then upriver to Pittsburgh and ultimately to Philadelphia, or north on the Ohio Canal to Cleveland, Buffalo and ultimately, via the Welland Canal, to Lake Ontario and Montreal (19).
By 1836 shippers carried more grain north on the Great Lakes and through Buffalo, than south on the Mississippi through New Orleans (Odle 1964, 441). Though, as late as 1840 Ohio was the only state/region who participated significantly in the Great Lakes trade. Illinois, Indiana, Michigan, and the region of modern day Wisconsin either produced for their respective local markets or relied upon Southern demand. As of 1837 only 4,107 residents populated the “village” of Chicago, which became an official city in that year (Hieronymus 1977, 72). 7.
Antebellum Grain Trade Finance in the Old Northwest.
Before the mid-1860s, a network of banks, grain dealers, merchants, millers and commission houses – buying and selling agents located in the central commodity markets – employed an acceptance system to finance the U. S. grain trade (see Clark 1966, 119; Odle 1964, 442). For example, a miller who required grain would instruct an agent in, say, New York to establish, on the miller’s behalf, a line of credit with a merchant there. The merchant extended this line of credit in the form of sight drafts, which the merchant made payable, in sixty or ninety days, up to the amount of the line of credit.
With this credit line established, commission agents in the hinterland would arrange with grain dealers to acquire the necessary grain. The commission agent would obtain warehouse receipts – dealer certified negotiable titles to specific lots and quantities of grain in store – from dealers, attach these to drafts that he drew on the merchant’s line of credit, and discount these drafts at his local bank in return for banknotes; the local bank would forward these drafts on to the New York merchant’s bank for redemption. The commission agents would use these banknotes to advance – lend – grain dealers roughly three quarters of the current market value of the grain. The commission agent would pay dealers the remainder (minus finance and commission fees) when the grain was finally sold in the East. That is, commission agents and grain dealers entered into consignment contracts.
Unfortunately, this approach linked banks, grain dealers, merchants, millers and commission agents such that the “entire procedure was attended by considerable risk and speculation, which was assumed by both the consignee and consignor” (Clark 1966, 120). The system was reasonably adequate if grain prices went unchanged between the time the miller procured the credit and the time the grain (bulk or converted) was sold in the East, but this was rarely the case. The fundamental problem with this system of finance was that commission agents were effectively asking banks to lend them money to purchase as yet unsold grain. To be sure, this inadequacy was most apparent during financial panics, when many banks refused to discount these drafts (Odle 1964, 447).
Grain Trade Finance in Transition: Forward Contracts and Commodity Exchanges.
In 1848 the Illinois-Michigan Canal connected the Illinois River to Lake Michigan. The canal enabled farmers in the hinterlands along the Illinois River to ship their produce to merchants located along the river. These merchants accumulated, stored and then shipped grain to Chicago, Milwaukee and Racine. At first, shippers tagged deliverables according to producer and region, while purchasers inspected and chose these tagged bundles upon delivery. Commercial activity at the three grain ports grew throughout the 1850s. Chicago emerged as a dominant grain (primarily corn) hub later that decade (Pierce 1957, 66). 8.
Amidst this growth of Lake Michigan commerce, a confluence of innovations transformed the grain trade and its method of finance. By the 1840s, grain elevators and railroads facilitated high volume grain storage and shipment, respectively. Consequently, country merchants and their Chicago counterparts required greater financing in order to store and ship this higher volume of grain. 9 And, high volume grain storage and shipment required that inventoried grains be fungible – of such a nature that one part or quantity could be replaced by another equal part or quantity in the satisfaction of an obligation. For example, because a bushel of grade No. 2 Spring Wheat was fungible, its price did not depend on whether it came from Farmer A, Farmer B, Grain Elevator C, or Train Car D.
Merchants could secure these larger loans more easily and at relatively lower rates if they obtained firm price and quantity commitments from their buyers. So, merchants began to engage in forward (not futures) contracts. According to Hieronymus (1977), the first such “time contract” on record was made on March 13, 1851. It specified that 3,000 bushels of corn were to be delivered to Chicago in June at a price of one cent below the March 13 th cash market price (74). 10.
Meanwhile, commodity exchanges serviced the trade’s need for fungible grain. In the 1840s and 1850s these exchanges emerged as associations for dealing with local issues such as harbor infrastructure and commercial arbitration (e. g., Detroit in 1847, Buffalo, Cleveland and Chicago in 1848 and Milwaukee in 1849) (see Odle 1964). By the 1850s they established a system of staple grades, standards and inspections, all of which rendered inventory grain fungible (Baer and Saxon 1949, 10; Chandler 1977, 211). As collection points for grain, cotton, and provisions, they weighed, inspected and classified commodity shipments that passed from west to east. They also facilitated organized trading in spot and forward markets (Chandler 1977, 211; Odle 1964, 439). 11.
The largest and most prominent of these exchanges was the Board of Trade of the City of Chicago, a grain and provisions exchange established in 1848 by a State of Illinois corporate charter (Boyle 1920, 38; Lurie 1979, 27); the exchange is known today as the Chicago Board of Trade (CBT). For at least its first decade, the CBT functioned as a meeting place for merchants to resolve contract disputes and discuss commercial matters of mutual concern. Participation was part-time at best. The Board’s first directorate of 25 members included “a druggist, a bookseller, a tanner, a grocer, a coal dealer, a hardware merchant, and a banker” and attendance was often encouraged by free lunches (Lurie 1979, 25).
However, in 1859 the CBT became a state - (of Illinois) chartered private association. As such, the exchange requested and received from the Illinois legislature sanction to establish rules “for the management of their business and the mode in which it shall be transacted, as they may think proper;” to arbitrate over and settle disputes with the authority as “if it were a judgment rendered in the Circuit Court;” and to inspect, weigh and certify grain and grain trades such that these certifications would be binding upon all CBT members (Lurie 1979, 27).
Nineteenth Century Futures Trading.
By the 1850s traders sold and resold forward contracts prior to actual delivery (Hieronymus 1977, 75). A trader could not offset, in the futures market sense of the term, a forward contact. Nonetheless, the existence of a secondary market – market for extant, as opposed to newly issued securities – in forward contracts suggests, if nothing else, speculators were active in these early time contracts.
On March 27, 1863, the Chicago Board of Trade adopted its first rules and procedures for trade in forwards on the exchange (Hieronymus 1977, 76). The rules addressed contract settlement, which was (and still is) the fundamental challenge associated with a forward contract – finding a trader who was willing to take a position in a forward contract was relatively easy to do; finding that trader at the time of contract settlement was not.
The CBT began to transform actively traded and reasonably homogeneous forward contracts into futures contracts in May, 1865. At this time, the CBT: restricted trade in time contracts to exchange members; standardized contract specifications; required traders to deposit margins; and specified formally contract settlement, including payments and deliveries, and grievance procedures (Hieronymus 1977, 76).
The inception of organized futures trading is difficult to date. This is due, in part, to semantic ambiguities – e. g., was a “to arrive” contract a forward contract or a futures contract or neither? However, most grain trade historians agree that storage (grain elevators), shipment (railroad), and communication (telegraph) technologies, a system of staple grades and standards, and the impetus to speculation provided by the Crimean and U. S. Civil Wars enabled futures trading to ripen by about 1874, at which time the CBT was the U. S.’s premier organized commodities (grain and provisions) futures exchange (Baer and Saxon 1949, 87; Chandler 1977, 212; CBT 1936, 18; Clark 1966, 120; Dies 1925, 15; Hoffman 1932, 29; Irwin 1954, 77, 82; Rothstein 1966, 67).
Nonetheless, futures exchanges in the mid-1870s lacked modern clearinghouses, with which most exchanges began to experiment only in the mid-1880s. For example, the CBT’s clearinghouse got its start in 1884, and a complete and mandatory clearing system was in place at the CBT by 1925 (Hoffman 1932, 199; Williams 1982, 306). The earliest formal clearing and offset procedures were established by the Minneapolis Grain Exchange in 1891 (Peck 1985, 6).
Even so, rudiments of a clearing system – one that freed traders from dealing directly with one another – were in place by the 1870s (Hoffman 1920, 189). That is to say, brokers assumed the counter-position to every trade, much as clearinghouse members would do decades later. Brokers settled offsets between one another, though in the absence of a formal clearing procedure these settlements were difficult to accomplish.
Direct settlements were simple enough. Here, two brokers would settle in cash their offsetting positions between one another only. Nonetheless, direct settlements were relatively uncommon because offsetting purchases and sales between brokers rarely balanced with respect to quantity. For example, B1 might buy a 5,000 bushel corn future from B2, who then might buy a 6,000 bushel corn future from B1; in this example, 1,000 bushels of corn remain unsettled between B1 and B2. Of course, the two brokers could offset the remaining 1,000 bushel contract if B2 sold a 1,000 bushel corn future to B1. But what if B2 had already sold a 1,000 bushel corn future to B3, who had sold a 1,000 bushel corn future to B1? In this case, each broker’s net futures market position is offset, but all three must meet in order to settle their respective positions. Brokers referred to such a meeting as a ring settlement. Finally, if, in this example, B1 and B3 did not have positions with each other, B2 could settle her position if she transferred her commitment (which she has with B1) to B3. Brokers referred to this method as a transfer settlement. In either ring or transfer settlements, brokers had to find other brokers who held and wished to settle open counter-positions. Often brokers used runners to search literally the offices and corridors for the requisite counter-parties (see Hoffman 1932, 185-200).
Finally, the transformation in Chicago grain markets from forward to futures trading occurred almost simultaneously in New York cotton markets. Forward contracts for cotton traded in New York (and Liverpool, England) by the 1850s. And, like Chicago, organized trading in cotton futures began on the New York Cotton Exchange in about 1870; rules and procedures formalized the practice in 1872. Futures trading on the New Orleans Cotton Exchange began around 1882 (Hieronymus 1977, 77).
Other successful nineteenth century futures exchanges include the New York Produce Exchange, the Milwaukee Chamber of Commerce, the Merchant’s Exchange of St. Louis, the Chicago Open Board of Trade, the Duluth Board of Trade, and the Kansas City Board of Trade (Hoffman 1920, 33; see Peck 1985, 9).
Early Futures Market Performance.
Data on grain futures volume prior to the 1880s are not available (Hoffman 1932, 30). Though in the 1870s “[CBT] officials openly admitted that there was no actual delivery of grain in more than ninety percent of contracts” (Lurie 1979, 59). Indeed, Chart 1 demonstrates that trading was relatively voluminous in the nineteenth century.
An annual average of 23,600 million bushels of grain futures traded between 1884 and 1888, or eight times the annual average amount of crops produced during that period. By comparison, an annual average of 25,803 million bushels of grain futures traded between 1966 and 1970, or four times the annual average amount of crops produced during that period. In 2002, futures volume outnumbered crop production by a factor of eleven.
The comparable data for cotton futures are presented in Chart 2. Again here, trading in the nineteenth century was significant. To wit, by 1879 futures volume had outnumbered production by a factor of five, and by 1896 this factor had reached eight.
Price of Storage.
Nineteenth century observers of early U. S. futures markets either credited them for stabilizing food prices, or discredited them for wagering on, and intensifying, the economic hardships of Americans (Baer and Saxon 1949, 12-20, 56; Chandler 1977, 212; Ferris 1988, 88; Hoffman 1932, 5; Lurie 1979, 53, 115). To be sure, the performance of early futures markets remains relatively unexplored. The extant research on the subject has generally examined this performance in the context of two perspectives on the theory of efficiency: the price of storage and futures price efficiency more generally.
Holbrook Working pioneered research into the price of storage – the relationship, at a point in time, between prices (of storable agricultural commodities) applicable to different future dates (Working 1949, 1254). 12 For example, what is the relationship between the current spot price of wheat and the current September 2004 futures price of wheat? Or, what is the relationship between the current September 2004 futures price of wheat and the current May 2005 futures price of wheat?
Working reasoned that these prices could not differ because of events that were expected to occur between these dates. For example, if the May 2004 wheat futures price is less than the September 2004 price, this cannot be due to, say, the expectation of a small harvest between May 2004 and September 2004. On the contrary, traders should factor such an expectation into both May and September prices. And, assuming that they do, then this difference can only reflect the cost of carrying – storing – these commodities over time. 13 Though this strict interpretation has since been modified somewhat (see Peck 1985, 44).
So, for example, the September 2004 price equals the May 2004 price plus the cost of storing wheat between May 2004 and September 2004. If the difference between these prices is greater or less than the cost of storage, and the market is efficient, arbitrage will bring the difference back to the cost of storage – e. g., if the difference in prices exceeds the cost of storage, then traders can profit if they buy the May 2004 contract, sell the September 2004 contract, take delivery in May and store the wheat until September. Working (1953) demonstrated empirically that the theory of the price of storage could explain quite satisfactorily these inter-temporal differences in wheat futures prices at the CBT as early as the late 1880s (Working 1953, 556).
Futures Price Efficiency.
Many contemporary economists tend to focus on futures price efficiency more generally (for example, Beck 1994; Kahl and Tomek 1986; Kofi 1973; McKenzie, et al. 2002; Tomek and Gray, 1970). That is to say, do futures prices shadow consistently (but not necessarily equal) traders’ rational expectations of future spot prices? Here, the research focuses on the relationship between, say, the cash price of wheat in September 2004 and the September 2004 futures price of wheat quoted two months earlier in July 2004.
Figure 1illustrates the behavior of corn futures prices and their corresponding spot prices between 1877 and 1890. The data consist of the average month t futures price in the last full week of month t -2 and the average cash price in the first full week of month t .
The futures price and its corresponding spot price need not be equal; futures price efficiency does not mean that the futures market is clairvoyant. But, a difference between the two series should exist only because of an unpredictable forecast error and a risk premium – futures prices may be, say, consistently below the expected future spot price if long speculators require an inducement, or premium, to enter the futures market. Recent work finds strong evidence that these early corn (and corresponding wheat) futures prices are, in the long run, efficient estimates of their underlying spot prices (Santos 2002, 35). Although these results and Working’s empirical studies on the price of storage support, to some extent, the notion that early U. S. futures markets were efficient, this question remains largely unexplored by economic historians.
The Struggle for Legitimacy.
Nineteenth century America was both fascinated and appalled by futures trading. This is apparent from the litigation and many public debates surrounding its legitimacy (Baer and Saxon 1949, 55; Buck 1913, 131, 271; Hoffman 1932, 29, 351; Irwin 1954, 80; Lurie 1979, 53, 106). Many agricultural producers, the lay community and, at times, legislatures and the courts, believed trading in futures was tantamount to gambling. The difference between the latter and speculating, which required the purchase or sale of a futures contract but not the shipment or delivery of the commodity, was ostensibly lost on most Americans (Baer and Saxon 1949, 56; Ferris 1988, 88; Hoffman 1932, 5; Lurie 1979, 53, 115).
Many Americans believed that futures traders frequently manipulated prices. From the end of the Civil War until 1879 alone, corners – control of enough of the available supply of a commodity to manipulate its price – allegedly occurred with varying degrees of success in wheat (1868, 1871, 1878/9), corn (1868), oats (1868, 1871, 1874), rye (1868) and pork (1868) (Boyle 1920, 64-65). This manipulation continued throughout the century and culminated in the Three Big Corners – the Hutchinson (1888), the Leiter (1898), and the Patten (1909). The Patten corner was later debunked (Boyle 1920, 67-74), while the Leiter corner was the inspiration for Frank Norris’s classic The Pit: A Story of Chicago (Norris 1903; Rothstein 1982, 60). 14 In any case, reports of market corners on America’s early futures exchanges were likely exaggerated (Boyle 1920, 62-74; Hieronymus 1977, 84), as were their long term effects on prices and hence consumer welfare (Rothstein 1982, 60).
By 1892 thousands of petitions to Congress called for the prohibition of “speculative gambling in grain” (Lurie, 1979, 109). And, attacks from state legislatures were seemingly unrelenting: in 1812 a New York act made short sales illegal (the act was repealed in 1858); in 1841 a Pennsylvania law made short sales, where the position was not covered in five days, a misdemeanor (the law was repealed in 1862); in 1882 an Ohio law and a similar one in Illinois tried unsuccessfully to restrict cash settlement of futures contracts; in 1867 the Illinois constitution forbade dealing in futures contracts (this was repealed by 1869); in 1879 California’s constitution invalidated futures contracts (this was effectively repealed in 1908); and, in 1882, 1883 and 1885, Mississippi, Arkansas, and Texas, respectively, passed laws that equated futures trading with gambling, thus making the former a misdemeanor (Peterson 1933, 68-69).
Two nineteenth century challenges to futures trading are particularly noteworthy. The first was the so-called Anti-Option movement. According to Lurie (1979), the movement was fueled by agrarians and their sympathizers in Congress who wanted to end what they perceived as wanton speculative abuses in futures trading (109). Although options were (are) not futures contracts, and were nonetheless already outlawed on most exchanges by the 1890s, the legislation did not distinguish between the two instruments and effectively sought to outlaw both (Lurie 1979, 109).
In 1890 the Butterworth Anti-Option Bill was introduced in Congress but never came to a vote. However, in 1892 the Hatch (and Washburn) Anti-Option bills passed both houses of Congress, and failed only on technicalities during reconciliation between the two houses. Had either bill become law, it would have effectively ended options and futures trading in the United States (Lurie 1979, 110).
A second notable challenge was the bucket shop controversy, which challenged the legitimacy of the CBT in particular. A bucket shop was essentially an association of gamblers who met outside the CBT and wagered on the direction of futures prices. These associations had legitimate-sounding names such as the Christie Grain and Stock Company and the Public Grain Exchange. To most Americans, these “exchanges” were no less legitimate than the CBT. That some CBT members were guilty of “bucket shopping” only made matters worse!
The bucket shop controversy was protracted and colorful (see Lurie 1979, 138-167). Between 1884 and 1887 Illinois, Iowa, Missouri and Ohio passed anti-bucket shop laws (Lurie 1979, 95). The CBT believed these laws entitled them to restrict bucket shops access to CBT price quotes, without which the bucket shops could not exist. Bucket shops argued that they were competing exchanges, and hence immune to extant anti-bucket shop laws. As such, they sued the CBT for access to these price quotes. 15.
The two sides and the telegraph companies fought in the courts for decades over access to these price quotes; the CBT’s very survival hung in the balance. After roughly twenty years of litigation, the Supreme Court of the U. S. effectively ruled in favor of the Chicago Board of Trade and against bucket shops (Board of Trade of the City of Chicago v. Christie Grain & Stock Co., 198 U. S. 236, 25 Sup. Ct. (1905)). Bucket shops disappeared completely by 1915 (Hieronymus 1977, 90).
اللائحة.
The anti-option movement, the bucket shop controversy and the American public’s discontent with speculation masks an ironic reality of futures trading: it escaped government regulation until after the First World War; though early exchanges did practice self-regulation or administrative law. 16 The absence of any formal governmental oversight was due in large part to two factors. First, prior to 1895, the opposition tried unsuccessfully to outlaw rather than regulate futures trading. Second, strong agricultural commodity prices between 1895 and 1920 weakened the opposition, who blamed futures markets for low agricultural commodity prices (Hieronymus 1977, 313).
Grain prices fell significantly by the end of the First World War, and opposition to futures trading grew once again (Hieronymus 1977, 313). In 1922 the U. S. Congress enacted the Grain Futures Act, which required exchanges to be licensed, limited market manipulation and publicized trading information (Leuthold 1989, 369). 17 However, regulators could rarely enforce the act because it enabled them to discipline exchanges, rather than individual traders. To discipline an exchange was essentially to suspend it, a punishment unfit (too harsh) for most exchange-related infractions.
The Commodity Exchange Act of 1936 enabled the government to deal directly with traders rather than exchanges. It established the Commodity Exchange Authority (CEA), a bureau of the U. S. Department of Agriculture, to monitor and investigate trading activities and prosecute price manipulation as a criminal offense. The act also: limited speculators’ trading activities and the sizes of their positions; regulated futures commission merchants; banned options trading on domestic agricultural commodities; and restricted futures trading – designated which commodities were to be traded on which licensed exchanges (see Hieronymus 1977; Leuthold, et al. 1989).
Although Congress amended the Commodity Exchange Act in 1968 in order to increase the regulatory powers of the Commodity Exchange Authority, the latter was ill-equipped to handle the explosive growth in futures trading in the 1960s and 1970s. So, in 1974 Congress passed the Commodity Futures Trading Act, which created far-reaching federal oversight of U. S. futures trading and established the Commodity Futures Trading Commission (CFTC).
Like the futures legislation before it, the Commodity Futures Trading Act seeks “to ensure proper execution of customer orders and to prevent unlawful manipulation, price distortion, fraud, cheating, fictitious trades, and misuse of customer funds” (Leuthold, et al. 1989, 34). Unlike the CEA, the CFTC was given broad regulator powers over all futures trading and related exchange activities throughout the U. S. The CFTC oversees and approves modifications to extant contracts and the creation and introduction of new contracts. The CFTC consists of five presidential appointees who are confirmed by the U. S. Senate.
The Futures Trading Act of 1982 amended the Commodity Futures Trading Act of 1974. The 1982 act legalized options trading on agricultural commodities and identified more clearly the jurisdictions of the CFTC and Securities and Exchange Commission (SEC). The regulatory overlap between the two organizations arose because of the explosive popularity during the 1970s of financial futures contracts. Today, the CFTC regulates all futures contracts and options on futures contracts traded on U. S. futures exchanges; the SEC regulates all financial instrument cash markets as well as all other options markets.
Finally, in 2000 Congress passed the Commodity Futures Modernization Act, which reauthorized the Commodity Futures Trading Commission for five years and repealed an 18-year old ban on trading single stock futures. The bill also sought to increase competition and “reduce systematic risk in markets for futures and over-the-counter derivatives” (H. R. 5660, 106 th Congress 2 nd Session).
Modern Futures Markets.
The growth in futures trading has been explosive in recent years (Chart 3).
Futures trading extended beyond physical commodities in the 1970s and 1980s – currency futures in 1972; interest rate futures in 1975; and stock index futures in 1982 (Silber 1985, 83). The enormous growth of financial futures at this time was likely because of the breakdown of the Bretton Woods exchange rate regime, which essentially fixed the relative values of industrial economies’ exchange rates to the American dollar (see Bordo and Eichengreen 1993), and relatively high inflation from the late 1960s to the early 1980s. Flexible exchange rates and inflation introduced, respectively, exchange and interest rate risks, which hedgers sought to mitigate through the use of financial futures. Finally, although futures contracts on agricultural commodities remain popular, financial futures and options dominate trading today. Trading volume in metals, minerals and energy remains relatively small.
Trading volume in agricultural futures contracts first dropped below 50% in 1982. By 1985 this volume had dropped to less than one fourth all trading. In the same year the volume of futures trading in the U. S. Treasury bond contract alone exceeded trading volume in all agricultural commodities combined (Leuthold et al. 1989, 2). Today exchanges in the U. S. actively trade contracts on several underlying assets (Table 1). These range from the traditional – e. g., agriculture and metals – to the truly innovative – e. g. the weather. The latter’s payoff varies with the number of degree-days by which the temperature in a particular region deviates from 65 degrees Fahrenheit.
Table 1: Select Futures Contracts Traded as of 2002.
Source: Bodie, Kane and Marcus (2005), p. 796.
Table 2 provides a list of today’s major futures exchanges.
Table 2: Select Futures Exchanges as of 2002.
Source: Wall Street Journal, 5/12/2004, C16.
Modern trading differs from its nineteenth century counterpart in other respects as well. First, the popularity of open outcry trading is waning. For example, today the CBT executes roughly half of all trades electronically. And, electronic trading is the rule, rather than the exception throughout Europe. Second, today roughly 99% of all futures contracts are settled prior to maturity. Third, in 1982 the Commodity Futures Trading Commission approved cash settlement – delivery that takes the form of a cash balance – on financial index and Eurodollar futures, whose underlying assets are not deliverable, as well as on several non-financial contracts including lean hog, feeder cattle and weather (Carlton 1984, 253). And finally, on Dec. 6, 2002, the Chicago Mercantile Exchange became the first publicly traded financial exchange in the U. S.
المراجع والمزيد من القراءة.
Baer, Julius B. and Olin. G. Saxon. Commodity Exchanges and Futures Trading . New York: Harper & Brothers, 1949.
Bodie, Zvi, Alex Kane and Alan J. Marcus. Investments . New York: McGraw-Hill/Irwin, 2005.
Bordo, Michael D. and Barry Eichengreen, editors. A Retrospective on the Bretton Woods System: Lessons for International Monetary Reform . Chicago: University of Chicago Press, 1993.
Boyle, James. E. Speculation and the Chicago Board of Trade . New York: MacMillan Company, 1920.
Buck, Solon. J. The Granger Movement: A Study of Agricultural Organization and Its Political,
Carlton, Dennis W. “Futures Markets: Their Purpose, Their History, Their Growth, Their Successes and Failures.” Journal of Futures Markets 4, no. 3 (1984): 237-271.
Chicago Board of Trade Bulletin. The Development of the Chicago Board of Trade . Chicago: Chicago Board of Trade, 1936.
Chandler, Alfred. D. The Visible Hand: The Managerial Revolution in American Business . Cambridge: Harvard University Press, 1977.
Clark, John. G. The Grain Trade in the Old Northwest . Urbana: University of Illinois Press, 1966.
لجنة تداول السلع الآجلة. تقرير سنوي. Washington, D. C. 2003.
Dies, Edward. J. The Wheat Pit . Chicago: The Argyle Press, 1925.
Ferris, William. G. The Grain Traders: The Story of the Chicago Board of Trade . East Lansing, MI: Michigan State University Press, 1988.
Hieronymus, Thomas A. Economics of Futures Trading for Commercial and Personal Profit . New York: Commodity Research Bureau, Inc., 1977.
Hoffman, George W. Futures Trading upon Organized Commodity Markets in the United States . Philadelphia: University of Pennsylvania Press, 1932.
Irwin, Harold. S. Evolution of Futures Trading . Madison, WI: Mimir Publishers, Inc., 1954.
Leuthold, Raymond M., Joan C. Junkus and Jean E. Cordier. The Theory and Practice of Futures Markets . Champaign, IL: Stipes Publishing L. L.C., 1989.
Lurie, Jonathan. The Chicago Board of Trade 1859-1905 . Urbana: University of Illinois Press, 1979.
National Agricultural Statistics Service. “Historical Track Records.” Agricultural Statistics Board, U. S. Department of Agriculture, Washington, D. C. April 2004.
Norris, Frank. The Pit: A Story of Chicago . New York, NY: Penguin Group, 1903.
Odle, Thomas. “Entrepreneurial Cooperation on the Great Lakes: The Origin of the Methods of American Grain Marketing.” Business History Review 38, (1964): 439-55.
Peck, Anne E., editor. Futures Markets: Their Economic Role . Washington D. C.: American Enterprise Institute for Public Policy Research, 1985.
Peterson, Arthur G. “Futures Trading with Particular Reference to Agricultural Commodities.” Agricultural History 8, (1933): 68-80.
Pierce, Bessie L. A History of Chicago: Volume III, the Rise of a Modern City . New York: Alfred A. Knopf, 1957.
Rothstein, Morton. “The International Market for Agricultural Commodities, 1850-1873.” In Economic Change in the Civil War Era , edited by David. T. Gilchrist and W. David Lewis, 62-71. Greenville DE: Eleutherian Mills-Hagley Foundation, 1966.
Rothstein, Morton. “Frank Norris and Popular Perceptions of the Market.” Agricultural History 56, (1982): 50-66.
Santos, Joseph. “Did Futures Markets Stabilize U. S. Grain Prices?” Journal of Agricultural Economics 53, no. 1 (2002): 25-36.
Silber, William L. “The Economic Role of Financial Futures.” In Futures Markets: Their Economic Role , edited by Anne E. Peck, 83-114. Washington D. C.: American Enterprise Institute for Public Policy Research, 1985.
Stein, Jerome L. The Economics of Futures Markets. Oxford: Basil Blackwell Ltd, 1986.
Taylor, Charles. H. History of the Board of Trade of the City of Chicago . Chicago: R. O. Law, 1917.
Werner, Walter and Steven T. Smith. Wall Street . New York: Columbia University Press, 1991.
Williams, Jeffrey C. “The Origin of Futures Markets.” Agricultural History 56, (1982): 306-16.
Working, Holbrook. “The Theory of the Price of Storage.” American Economic Review 39, (1949): 1254-62.
Working, Holbrook. “Hedging Reconsidered.” Journal of Farm Economics 35, (1953): 544-61.
1 The clearinghouse is typically a corporation owned by a subset of exchange members. For details regarding the clearing arrangements of a specific exchange, go to cftc. gov and click on “Clearing Organizations.”
2 The vast majority of contracts are offset. Outright delivery occurs when the buyer receives from, or the seller “delivers” to the exchange a title of ownership, and not the actual commodity or financial security – the urban legend of the trader who neglected to settle his long position and consequently “woke up one morning to find several car loads of a commodity dumped on his front yard” is indeed apocryphal (Hieronymus 1977, 37)!
3 Nevertheless, forward contracts remain popular today (see Peck 1985, 9-12).
4 The importance of New Orleans as a point of departure for U. S. grain and provisions prior to the Civil War is unquestionable. According to Clark (1966), “New Orleans was the leading export center in the nation in terms of dollar volume of domestic exports, except for 1847 and a few years during the 1850s, when New York’s domestic exports exceeded those of the Crescent City” (36).
5 This area was responsible for roughly half of U. S. wheat production and a third of U. S. corn production just prior to 1860. Southern planters dominated corn output during the early to mid - 1800s.
6 Millers milled wheat into flour; pork producers fed corn to pigs, which producers slaughtered for provisions; distillers and brewers converted rye and barley into whiskey and malt liquors, respectively; and ranchers fed grains and grasses to cattle, which were then driven to eastern markets.
7 Significant advances in transportation made the grain trade’s eastward expansion possible, but the strong and growing demand for grain in the East made the trade profitable. The growth in domestic grain demand during the early to mid-nineteenth century reflected the strong growth in eastern urban populations. Between 1820 and 1860, the populations of Baltimore, Boston, New York and Philadelphia increased by over 500% (Clark 1966, 54). Moreover, as the 1840’s approached, foreign demand for U. S. grain grew. Between 1845 and 1847, U. S. exports of wheat and flour rose from 6.3 million bushels to 26.3 million bushels and corn exports grew from 840,000 bushels to 16.3 million bushels (Clark 1966, 55).
8 Wheat production was shifting to the trans-Mississippi West, which produced 65% of the nation’s wheat by 1899 and 90% by 1909, and railroads based in the Lake Michigan port cities intercepted the Mississippi River trade that would otherwise have headed to St. Louis (Clark 1966, 95). Lake Michigan port cities also benefited from a growing concentration of corn production in the West North Central region – Iowa, Kansas, Minnesota, Missouri, Nebraska, North Dakota and South Dakota, which by 1899 produced 40% percent of the country’s corn (Clark 1966, 4).
9 Corn had to be dried immediately after it was harvested and could only be shipped profitably by water to Chicago, but only after rivers and lakes had thawed; so, country merchants stored large quantities of corn. On the other hand, wheat was more valuable relative to its weight, and it could be shipped to Chicago by rail or road immediately after it was harvested; so, Chicago merchants stored large quantities of wheat.
10 This is consistent with Odle (1964), who adds that “the creators of the new system of marketing [forward contracts] were the grain merchants of the Great Lakes” (439). However, Williams (1982) presents evidence of such contracts between Buffalo and New York City as early as 1847 (309). To be sure, Williams proffers an intriguing case that forward and, in effect, future trading was active and quite sophisticated throughout New York by the late 1840s. Moreover, he argues that this trading grew not out of activity in Chicago, whose trading activities were quite primitive at this early date, but rather trading in London and ultimately Amsterdam. Indeed, “time bargains” were common in London and New York securities markets in the mid - and late 1700s, respectively. A time bargain was essentially a cash-settled financial forward contract that was unenforceable by law, and as such “each party was forced to rely on the integrity and credit of the other” (Werner and Smith 1991, 31). According to Werner and Smith, “time bargains prevailed on Wall Street until 1840, and were gradually replaced by margin trading by 1860” (68). They add that, “margin trading … had an advantage over time bargains, in which there was little protection against default beyond the word of another broker. Time bargains also technically violated the law as wagering contracts; margin trading did not” (135). Between 1818 and 1840 these contracts comprised anywhere from 0.7% (49-day average in 1830) to 34.6% (78-day average in 1819) of daily exchange volume on the New York Stock & Exchange Board (Werner and Smith 1991, 174).
11 Of course, forward markets could and indeed did exist in the absence of both grading standards and formal exchanges, though to what extent they existed is unclear (see Williams 1982).
12 In the parlance of modern financial futures, the term cost of carry is used instead of the term storage . For example, the cost of carrying a bond is comprised of the cost of acquiring and holding (or storing) it until delivery minus the return earned during the carry period.
13 More specifically, the price of storage is comprised of three components: (1) physical costs such as warehouse and insurance; (2) financial costs such as borrowing rates of interest; and (3) the convenience yield – the return that the merchant, who stores the commodity, derives from maintaining an inventory in the commodity. The marginal costs of (1) and (2) are increasing functions of the amount stored; the more the merchant stores, the greater the marginal costs of warehouse use, insurance and financing. Whereas the marginal benefit of (3) is a decreasing function of the amount stored; put differently, the smaller the merchant’s inventory, the more valuable each additional unit of inventory becomes. Working used this convenience yield to explain a negative price of storage – the nearby contract is priced higher than the faraway contract; an event that is likely to occur when supplies are exceptionally low. In this instance, there is little for inventory dealers to store. Hence, dealers face extremely low physical and financial storage costs, but extremely high convenience yields. The price of storage turns negative; essentially, inventory dealers are willing to pay to store the commodity.
14 Norris’ protagonist, Curtis Jadwin, is a wheat speculator emotionally consumed and ultimately destroyed, while the welfare of producers and consumers hang in the balance, when a nineteenth century CBT wheat futures corner backfires on him.
15 One particularly colorful incident in the controversy came when the Supreme Court of Illinois ruled that the CBT had to either make price quotes public or restrict access to everyone. When the Board opted for the latter, it found it needed to “prevent its members from running (often literally) between the [CBT and a bucket shop next door], but with minimal success. Board officials at first tried to lock the doors to the exchange…However, after one member literally battered down the door to the east side of the building, the directors abandoned this policy as impracticable if not destructive” (Lurie 1979, 140).
16 Administrative law is “a body of rules and doctrines which deals with the powers and actions of administrative agencies” that are organizations other than the judiciary or legislature. These organizations affect the rights of private parties “through either adjudication, rulemaking, investigating, prosecuting, negotiating, settling, or informally acting” (Lurie 1979, 9).
17 In 1921 Congress passed The Futures Trading Act, which was declared unconstitutional.

Fin512 习题1.
المصالح ذات الصلة.
التقييم والإحصاءات.
خيارات المشاركة.
إجراءات المستند.
Pages 3 to 21 are not shown in this preview.
المستندات الموصى بها.
Documents Similar To Fin512 习题1.
وثائق حول الخيار (المالية)
More From Biao Wang.
تذييل القائمة.
القانونية.
وسائل الاعلام الاجتماعية.
كوبيرايت & كوبي؛ 2017 سكريبد Inc. تصفح الكتب. موقع الجوال . دليل الموقع. لغة الموقع:
هل أنت واثق؟
قد لا يكون من الممكن التراجع عن هذا الإجراء. هل تريد بالتأكيد المتابعة؟
هل تريد بالتأكيد حذف هذه القائمة؟
كما سيتم إزالة كل ما حددته من القوائم.
ستتم إزالة هذا الكتاب أيضا من جميع القوائم.
لقد قمنا بتنسيق العناوين التي نعتقد أنك ستحبها.