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1、SpeculatingwithStockIndexFutures
2、第1●茆懿心博士DrJenniferMao SupposethesettlementpricesfortheSiMSCIFuturesSeptembercontractovertheperiodfromthe24thtothe31stofAugustareasshon(3)oftheacpanyingtable.SinceMrTanbuysonecontractat180.0on24Augustandthesettlementpriceatthecloseofthatday'stradingis1
3、82.4,hemakesagainof2.4points.Theprofitof$480(being$200x2.4)arginaccount. SupposeMrTanremainsbullishontheSingaporestockmarketanddoesnotcloseouthispositiontill31August.Then,hisdailygain(orloss)inedbythesettlementpriceattheendofeachday.Thisdailyputationofprofitsandlossesns(4)and(5). Aft
4、ereachday'ssettlement,ifthebalanceofhismarginaccountisabovethe"maintenancemargin"levelof$4,000,MrTanargincall".Oncethebalancetouches$4,000,houstreplenishhismarginaccounttotheinitialmarginlevelof$5,000ifhedoesnotple,Taneetamargincallfor$2,240arginaccountdipsto$2,760. SupposeMrTanfinal
5、lydecidestocloseouthispositionon31Augustatapriceof165.2points.Afterdeductinghisfinalday'slossof$960,hecanarginaccount. Overtheeight-dayperiod,Tanlosesatotalof$2,960(=$200x(165.2-180.0)).Thiscanbeverifiedbyhiscashflooftheinitialmargin$5,000andamargincallof$2,240.Hoe,heonlygetsback$4,2
6、80. Ontotalcashoutfloountstoa40.9%lossall8.2%.Suchisthepoethingage.Ifthebetisplacedontherightsideofthetable,thereilarlymagnified.IfMrTanforeseesthemarketdoentargincalls).HeadearketmovementsusingSIF,onemustbeaentionedabove. paredentinabasketofshares,takingalongpositioninSIFhasanothers
7、horting.SCIindex.Forthosearketmovement,ashortpositioninSIFallotoprofitfromthisviearket,butarenotinterestedinpickingspecificcounters,SIFisanidealinstrument. Thirdly,thetransactioncostsfortradingSIFcontractsissionsandclearingfeesincurredforSESstocktrading. Finally,arketeasilyandcheaply
8、.IfthereisgoodliquidityofSiMSCIFuturestostartorehedgersandspeculators,leadingtoevenloentofFinanceandAccounting,NUSaresourcepanellistofSPH'sChineseNeargincall)。张三的保证金户头在8月24、25、26日的结算后余额都在4000元以上，所以无需补仓；超出5000元的部分甚至可以提用（如做为其他合约的交易保证金）。 张三的盘口在8月27日遭受了1280元的损失，造成结算后的保证金余额只剩2760元，低于维持保证
9、金4000元，所以需要补
