1、Hedging Strategies Using Futures,指導教授：吳銘政95320005 蔡雅蘋 95320022 鐘于媜95320008 林佩儀 95320025 林彥伶95320009 賴枚汮 95320029 羅婉瑜95320021 陳佩絨 95320030 蔡佳君,3,目錄,3.1 Basic principles3.2 Arguments for and against hedging3.3 Basis risk3.4 Cross hedging3.5 Stock index futures3.6 Rolling the hedge forward Summary,3.1
2、Basic principles (基本原則),當個人或公司選擇期貨來避險時，通常目標是盡可能在適當的位置抵銷風險。Ex:公司考慮到如果將商品價格3個月內全部增加1分，將會有$10,000的收益;但如果將商品價格在3個月內全部減少1分，會有$10,000的損失。困難點在於，公司的財務主管應該使用設計好的空頭避險來抵銷風險。,Short Hedges 空頭避險,為了規避現貨價格下跌的風險，在期貨市場建立空頭部位（賣出期貨）的避險策略。空頭避險又稱為賣出避險(short hedge)，是指由於持有現貨商品，但擔心將來因價格下跌而遭受損失，所以在期貨市場賣出期貨(sell futures)，而由期貨
3、的收益來規避因為現貨價格下跌的風險。空頭避險也可能因為未來會有現貨的長部位，卻擔心未來現貨會下跌，而預先賣出期貨,Long Hedges多頭避險,多頭避險又稱為買進避險(long hedge)，規避現貨價格上漲，造成未來購買現貨之成本增加的風險，而在期貨市場建立多頭部位（買進期貨）的避險方式。 由於避險者在現貨市場賣空現貨或未來會買入現貨部位，但是擔心如果未來現貨價格上漲將有損失，因此在期貨市場買進期貨多頭避險,3.2 Arguments for and against hedging (支持與反對避險的論點),Companies should focus on the main busine
4、ss they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables,Arguments against Hedging,Shareholders are usually well diversified and can make their own hedging decisionsIt may increase risk to hedge when competitors do notExplaining a situat
5、ion where there is a loss on the hedge and a gain on the underlying can be difficult,3.3 Basis risk (基差風險),實務上，基於下列這三點原因:1.在未來某特定日，該特定資產的市價不一定等於期貨契約價格2.投資人(風險規避者)買入或賣出該特定資產的日期具有不確定性3.投資人可能在期貨契約交割日以前必須結清使得投資人利用期貨契約買入或賣出該特定資產仍然存在著風險。因為該風險來自於該特定資產的現貨價格和期貨契約價格的差額-(基差)，且基差不是維持不變的，而是會隨時改變，所以產生了”基差風險”。,The
6、 Basis 基差,基差是期貨價格與現貨價格的差距Bais=Spot price of asset to be hedged Futures price of contract used 基差(B)=現貨價格(S)-期貨契約價格(F),基差變化對多頭與空頭避險效果的影響,S1 :spot price at time t1 (在時點t1的現貨價格)S2 :spot price at time t2 (在時點t2的現貨價格) （Final Asset Price ）F1 :futures price at time t1 (在時點t1的期貨價格) （Initial Futures Price）F2
7、 :futures price at time t2 (在時點t2的期貨價格) (Final Futures Price）b1 :basis at time t1 (在時點t1期貨之基差) b1= S1- F1b2 :basis at time t2 (在時點t2期貨之基差) b2 =S2- F2,基差變化對多頭避險效果的影響,某一避險者預期將在時點t2買入現貨，那他可以用F1 的價格購入期貨來避險，在時點t2 的期貨部位利潤為 (F2 F1)，而現貨的買入價格為S2 ，所以避險後在時點t2 購入一單位現貨的淨成本為： 淨成本= S2 (F2 F1) = F1 + b2若基差轉強（例如基差由3
8、變5）- (b2- b1 )0 則避險者在時點t2 購入現貨的淨成本將上升，對多頭避險不利若基差轉弱（例如基差由5變3）- (b2- b1 )0 則避險者在時點t2 出售現貨的淨收益將上升，對空頭避險有利若基差轉弱（例如基差由5變3）- (b2- b1 ) *, a short position in( - *)P/Fcontracts is required. when *, a long position in(* - )P/Fcontracts is required.,Exposure to the Price of an Indidvidual Stock,hedging an ex
9、posure to the price of an individual stock using index futures contracts is similar to hedging a well-diversified stock portfolio.he hedge provides protection only against the risk arising from marked movements, and this risk is a relatively small proportion of the total risk in the price movements
10、of individual stocks.it can also be used by an investment bank that has underwritten a new issue of the stock and wants protection against moves in the market as a whole.,3.6 Rolling the hedge forward,Sometimes the expiration date of the hedge is later than the delivery dates of all the futures cont
11、racts that can be used.The hedger must then roll the hedge forward by closed out one futures contract and taking the same position in a futures contract with a later delivery date. Hedges can be rolled forward many times.,Time t1： Shore futures contract 1Time t2： Close out futures contract 1 Short f
12、utures contract 2Time t3： Close out futures contract 2 Short futures contract 3 Time tn： Close out futures contract n-1 Short futures contract nTime T： Close out futures contract n,Table 3.5 Data for the example on rolling oil hedge forward.,Date Apr. 2007 Sept. 2007 Feb. 2008 June 2008 Oct. 2007 fu
13、tures price 68.20 67.40 Mar. 2008 futures price 67.00 66.50July 2008 futures price 66.30 65.90Spot price 69.00 66.00,Suppose that in April 2007 a company realizes that it will have 100,000 barrels of oil to sell in June 2008 and decides to hedge its risk with a hedge ratio of 1.0. (In this example,w
14、e do not make the “tailing” adjustment described in Section 3.4.) The current spot price is $69.,The company therefore shorts 100 October 2007 contracts. In September 2007 it rolls the hedge forward into the March 2008 contracts . In February 2008 it rolls the hedge forward again into the July 2008
15、contract.,The October 2007 contract is $68.20 $67.40 ( per barrel) (profit of $0.80)The March 2008 contract is$67.00 $66.50 ( per barrel) (profit of $0.50),The July 2008 contract is$66.30 $65.90 ( per barrel) (profit of $0.40)The final spot price is $66.,The dollar gain per barrel of oil from the sh
16、ort futures contracts is(68. 20-67.40)+(67.00-66.50)+(66.30-65.90)=1.70,The oil price declined from $69 to $66. Receiving only $1.70 per barrel compensation for a price decline of $3.00 may appear unsatisfactory. However, we cannot expect total compensation for a price decline when futures prices ar
17、e below spot price. The best we can hope for is to lock in the futures price that would apply to a June 2008 contract if it were actively traded.,The daily settlement of futures contracts can cause a mismatch between the timing of the cash flows on hedge and the timing of the cash flows from the position being hedged. In situations where the hedge is rolled forward so that it lasts a long time this can lead to serious problems.,Summary,THE ENDTHANK YOU,
