What Is A Stock Index Futures Contract?
Dr Jennifer Mao A gold futures contract buys gold for future delivery. A futures contract on HSBC stock has the HSBC shares as the underlying commodity. But what does a Stock Index Futures (SIF) contract buy or sell? In theory， the commodity underlying an SIF contract is a portfolio of stocks replicating the specified index. The best way to understand what this means is to see how an SIF contract can be used by the investor to profit from his views on broad market movements. In this article， we shall use the soon-to-be-launched Simex MSCI Singapore Stock Index Futures (or SiMSCI Futures for short) for illustration. The exact specifications of SiMSCI Futures are yet to be finalised. What is known at present includes the following. The contract assigns a $200-per-point value to the underlying MSCI Singapore Free Index. (This index will be explained in greater detail in a subsequent article.) There will be six contract months concurrently listed for trading. The margin requirements will be approximately 10% of the contract value. The MSCI Singapore Free Index stood at 190.9 on 8 May 1998. The corresponding SiMSCI Futures would have a contract value of $38，180， being $200 times 190.9. In this series， we will assume that the initial margin and the maintenance margin for this contract are $5，000 and $4，000， respectively. Note that they are two specified levels of the same margin account， not two separate sums of money. When two counter-parties trade SIF futures， the buyer is betting that the index up to a specified point in time will be above a certain level. The seller， on the contrary， holds the opposite view. The "specified point in time" is the maturity date of the futures contract. Futures are standardised contracts. The standardised maturities of the SiMSCI Futures will be the last Stock Exchange of Singapore (SES) trading day of the contract months， being the two nearest serial months and the nearest March quarterly months (meaning， in August 98， the following four months: September 98， December 98， March 99， June 99). As a near contract (say， September 98) matures， a distant contract (i.e.， September 99) will be added on a rolling basis. Without an SIF futures contract， an investor who is bullish about the overall market movement and wishes to take a position accordingly will have to pick the counters to invest in. To form a portfolio broad enough to represent the overall market would definitely require millions of dollars， quite possibly beyond his budget. If he selects just a few counters， his choices may not move in tandem with the broad market. On the other hand， a bearish investor who does not hold shares will have no way of putting his money where his belief is since shortselling is not allowed. An investor wi
th shares can sell off the shares before the anticipated market downturn. However， it is possible that although his broad market view proves to be correct， some of the shares he has sold buck the market trend. With SIF contracts， such a dilemma can be easily resolved. Suppose Mr Tan believes thatthe MSCI Singapore Free Index will be above 180 by 30 September (the last SES trading day for September) and buys a SiMSCI Futures September contract on 24 August at a price， say， 180.0. Mr Tan is now "long" in one SiMSCI Futures contract. He must have $5，000 in his margin account for his long position， assuming that the initial margin and the maintenance margin his broker requires of him are $5，000 and $4，000， respectively. (Tan's broker cannot lower the margins below the minimum levels set by Simex. The broker， however， has the discretion to impose higher margin requirements.) At the end of each trading day， the exchange will determine the settlement price for each contract. Suppose the settlement price so determined at the close of 24 August trading is 182.4. Compared with Tan's purchase price of 180.0， this means a 2.4-point gain， or $480 profit (since each point is worth $200). Unlike holding shares where profits are merely on paper (i.e.， not realised) unless the shares are sold， futures positions are "marked to market" on a daily basis， with the settlement price taken as the market price. As such， Mr Tan's margin account will be credited $480 for the 24 August settlement， resulting in a $5，480 balance in his margin account. (Part one of two)
股價(jià)指數期貨買(mǎi)賣(mài)什么?
“黃金期貨”買(mǎi)賣(mài)的是來(lái)日交貨的黃金，“貨幣期貨”(或稱(chēng) “外匯期貨”)是以某個(gè)貨幣(例如美元)買(mǎi)賣(mài)另一個(gè)貨幣(例如日 元);在香港期貨交易所里買(mǎi)賣(mài)的“匯豐銀行股票期貨”買(mǎi)賣(mài)的是匯 豐銀行的股票。這些期貨買(mǎi)賣(mài)的標的物都很明確、很具體�？墒�，“ 股價(jià)指數期貨”究竟在買(mǎi)賣(mài)些什么呢?“股價(jià)指數”不就是一個(gè)如同 “通脹指數”一樣的統計數字嗎?它能買(mǎi)、能賣(mài)嗎? 在理論上，一個(gè)股價(jià)指數所代表的“貨”就是把這個(gè)股價(jià)指數所 包含的所有股票，按它們在指數里所占的比例組合而成的“股票組合 ”(stock portfolio)。
在此，姑且別管股價(jià)指數為什么可以是一個(gè)特定股票組合的同 義詞。要了解股價(jià)指數期貨，最簡(jiǎn)單的方法還是先看它身為投機工具 的一面：股價(jià)指數期貨是以約定的股價(jià)指數漲跌幅度來(lái)決定輸贏(yíng)大小 的一個(gè)工具。新加坡國際金融交易所預定推出的“摩根新加坡指數期 貨”(SIMEX Singapore Stock Index Futures，簡(jiǎn)稱(chēng) SiMSCI)選用 的指數只不過(guò)是眾多摩根史丹利資本國際 (MSCI)股價(jià)指數中的一 個(gè)。我們在本系列之五將會(huì )介紹這個(gè)指數。為簡(jiǎn)化行文起見(jiàn)，以下就 將此指數簡(jiǎn)稱(chēng)為“摩根新加坡指數”。
摩根新加坡指數期貨的合約規范細節尚待擬定落實(shí)。已經(jīng)知道的 是，指數每點(diǎn)價(jià)值將訂為 200 新元;依到期日的不同，會(huì )有6個(gè)期貨 合約同時(shí)掛牌。 交易按金將約為期貨合約價(jià)值的10%。以摩根新加坡 指數在1998年5月8日周五的收盤(pán)水平 190.9 為根據的話(huà)，一個(gè)期貨 合約的價(jià)值是3萬(wàn)8180元，也就是大約4萬(wàn)元。以下我們假設此合約的 初始保證金 (initial margin)是5000元、 維持保證金( maintenance margin)是4000元。(此兩個(gè)數字并不代表兩筆保證金 ，而是一只期貨合約的保證金戶(hù)頭的兩個(gè)水平。) 當兩方買(mǎi)賣(mài)指數期貨，買(mǎi)方是根據其研究、信息等，判斷特定時(shí) 候的指數會(huì )超過(guò)特定水平，賣(mài)方則認為同個(gè)時(shí)候的指數會(huì )低過(guò)該水平 。這個(gè)選定的時(shí)候就是該期貨合約的“到期日”，交易所會(huì )將期貨的 到期日標準化，摩根新加坡指數期貨的到期日是 3、6、9、12月份以 及其他最近兩個(gè)月份的最后一個(gè)股市交易日。如此，這個(gè)指數期貨會(huì ) 有6個(gè)到期日各異的不同期貨合約。隨著(zhù)時(shí)間的經(jīng)過(guò)，“近”的合 約 先到期，“遠”的合約遲些到期。到期時(shí)，所
有尚未“蓋盤(pán)”的合約 都要結算、交割清楚，之后該合約也就不復存在了。
如果沒(méi)有股價(jià)指數期貨可供買(mǎi)賣(mài)，投資者對一個(gè)股市的全盤(pán)平均 走勢看漲時(shí)，他就得進(jìn)一步?jīng)Q定應該買(mǎi)哪些股票。這會(huì )產(chǎn)生至少兩個(gè) 問(wèn)題：第一、股市平均漲 10% 的話(huà)，他買(mǎi)入的股票大概不會(huì )湊巧也 漲 10%。如果漲得更多，他自然開(kāi)心;但也很可能漲幅較小，甚或不 漲反跌。此時(shí)，除了頓足捶胸，就只能?chē)@：“如果有股價(jià)指數期貨就 好了!” 第二個(gè)問(wèn)題是，如果想十足跟進(jìn)股市漲潮，他得買(mǎi)進(jìn)足夠 數公司的股票，所需的資本不是三、五萬(wàn)元就能擺平的。
反之，假設他對股市的全盤(pán)平均走勢看跌。如果他未持有任 何股票， 當局又不許賣(mài)空，他除了在場(chǎng)外窮叫嚷之外，不能利用自 己的“高見(jiàn)”得利，誠然可惜。如果他持有某些股票，他可以把這些 股票賣(mài)了，將來(lái)再趁低吸購。問(wèn)題是，就算股價(jià)指數真的下跌了(即 他的預測正確)，有可能他賣(mài)掉的那張股票偏偏逆流而上。
這些苦惱都能因股價(jià)指數期貨的到來(lái)而解決。
假設張三相信摩根新加坡指數在9月30日(9月的最后一個(gè)股市交 易日)的水平會(huì )高于 180 點(diǎn)，他在 8月24日以 180.0 的價(jià)格買(mǎi)進(jìn)摩 根新加坡指數9月期貨一只，張三于是有了一個(gè)買(mǎi)空盤(pán)口 (long position)。我們假設張三的經(jīng)紀商對他要求的初始及維持保證金各 是5000 元及 4000 元(也就是交易所規定的最低保證金數額;經(jīng)紀 商是可以視情況向顧客要求較高的保證金的)，他必須即時(shí)就他所開(kāi) 的盤(pán)口繳交初始保證金5000元。
對于每個(gè)期貨合約，交易所在每個(gè)交易日結束后，都會(huì )宣布該 合約的結算價(jià)格(我們可以將結算價(jià)格理解為該合約當時(shí)的市價(jià))。
假設當天閉市后，交易所宣布該期貨的結算價(jià)格是182.4，比起張三 的 買(mǎi)入價(jià)，起了 2.4 點(diǎn)，相當于480 元(因為每點(diǎn)值 200 元)， 即張三當天已經(jīng)有了 480元的“紙面利潤”。
期貨交易有個(gè)特色，就是：雖然理論上買(mǎi)賣(mài)雙方的輸贏(yíng)要等 到9月30日才能根據當天的摩根新加坡指數水平來(lái)決定;然而，在實(shí) 際作業(yè)上，為了避免賠錢(qián)方到時(shí)賴(lài)帳，期貨交易透過(guò)交易保證金實(shí)施 “逐日結算制”(Mark-to-Market )，在這個(gè)制度下，8月24日閉市結 算后，張三存于其經(jīng)紀商的保證金戶(hù)頭就會(huì )增加 480元。
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