FUTURESANDOPTIONSMARKETS跨國公司財務管理MultinationalFinancialManagement

AlanShapiro

7thEdition

J.Wiley&Sons

PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton2CHAPTER8CURRENCYFUTURESANDOPTIONSMARKETS3

CHAPTEROVERVIEWI. FUTURESCONTRACTSII. CURRENCYOPTIONS4PARTI.

FUTURESCONTRACTSI. CURRENCYFUTURES A. Background 1. 1972:ChicagoMercantile Exchange opensInternationalMonetary Market.(IMM)

5FUTURESCONTRACTS2. IMMprovides a. anoutletforhedgingcurrency riskwithfuturescontracts. b. Definitionoffuturescontracts:

contractswrittenrequiringastandardquantityofanavailablecurrency atafixedexchangerate atasetdeliverydate.6FUTURESCONTRACTSc. AvailableFuturesCurrencies:

1.)Britishpound 5.)Euro 2.)Canadiandollar 6.)Japaneseyen 3.)Deutschemark 7.)Australiandollar 4.)Swissfranc 7FUTURESCONTRACTS d. StandardContractSizes: contractsizesdifferforeachof the7availablecurrencies. Exles: Euro=125,000 BritishPound=62,5008FUTURESCONTRACTSe. Transactioncosts: paymentofcommissiontoa traderf. Leverageishigh 1.) Initialmarginrequiredis relativelylow(e.g.lessthan .02%ofsterlingcontract value).9FUTURESCONTRACTSg. Maximumpricemovements 1.) Contractssettoadaily pricelimitrestricting maximumdailyprice movements.

10FUTURESCONTRACTS2.) Iflimitisreached,amargin callmaybenecessaryto maintainaminimummargin.11FUTURESCONTRACTSh. Globalfuturesexchangesthat arecompetitorstotheIMM:

1.) DeutscheTerminBourse 2.) L.I.F.F.E.LondonInternational FinancialFuturesExchange 3.) C.B.O.T.ChicagoBoardofTrade

12FUTURESCONTRACTS4.) S.I.M.E.X.SingaporeInternational MonetaryExchange5.) H.K.F.E.HongKongFuturesExchange13FUTURESCONTRACTSB. Forwardvs.FuturesContracts Basicdifferences:

1.TradingLocations 6.Settlement Date 2.Regulation 7.Quotes 3.Frequencyof 8.Transaction delivery costs 4.Sizeofcontract 9.Margins 5.Deliverydates 10.Creditrisk

14FUTURESCONTRACTSAdvantagesoffutures:

1.)Smaller

contractsize 2.)Easyliquidation 3.)Well- organized andstable market.

Disadvantagesoffutures: 1.)Limitedto7 currencies 2.)Limiteddates ofdelivery 3.)Rigidcontract sizes.15PARTII

CURRENCYOPTIONSI. OPTIONS A. Currencyoptions 1. offeranothermethodto hedgeexchangeraterisk. 2. firstofferedonPhiladelphia Exchange(PHLX). 3. fastestgrowingsegmentof thehedgemarkets.16CURRENCYOPTIONS4.Definition: acontractfromawriter(theseller)that givestherightnottheobligationtothe holder(thebuyer)tobuyorsellastandard amountof anavailablecurrencyatafixed exchangerateforafixedtimeperiod.

17CURRENCYOPTIONS5. TypesofCurrencyOptions: a. American exercisedatemayoccurany timeuptotheexpirationdate. b. European exercisedateoccursonlyatthe expirationdate.18CURRENCYOPTIONS 7. ExercisePrice a. Sometimesknownasthe strikeprice. b. theexchangerateat whichtheoptionholder canbuyorsellthe contractedcurrency.19CURRENCYOPTIONS8. Statusofanoption a. In-the-money

Call: Spot>strike Put: Spot<strike

b. Out-of-the-money

Call: Spot<strike Put: Spot>strike

c. At-the-money

Spot=thestrike20CURRENCYOPTIONS 9. Thepremium:thepriceofan optionthatthewritercharges thebuyer.21CURRENCYOPTIONSB. WhentoUseCurrencyOptions 1. Forthefirmhedgingforeign exchangerisk

a.Withsizableunrealizedgains. b.Withforeigncurrencyflows forthcoming.

22CURRENCYOPTIONS 2. Forspeculators -profitfromfavorable exchangeratechanges.23CURRENCYOPTIONSC. OptionPricingandValuation 1.Valueofanoptionequals a.Intrinsicvalue b.Timevalue 24CURRENCYOPTIONS 2. IntrinsicValue theamountin-the-money

3. TimeValue theamounttheoptionisin excessofitsintrinsicvalue.

25CURRENCYOPTIONS4. Otherfactorsaffectingthe valueofanoption a. valueriseswithlonger timetoexpiration. b. valueriseswhengreater volatilityintheexchange rate.26CURRENCYOPTIONS5. Valueiscomplicatedbyboth thehomeandforeigninterest rates.27CURRENCYOPTIONSD. UsingForwardorFutures Contracts: Forwardandfutu