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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)
股價指數(shù)期貨買賣什么?
“黃金期貨”買賣的是來日交貨的黃金，“貨幣期貨”(或稱 “外匯期貨”)是以某個貨幣(例如美元)買賣另一個貨幣(例如日 元);在香港期貨交易所里買賣的“匯豐銀行股票期貨”買賣的是匯 豐銀行的股票。這些期貨買賣的標的物都很明確、很具體�？墒牵�“ 股價指數(shù)期貨”究竟在買賣些什么呢?“股價指數(shù)”不就是一個如同 “通脹指數(shù)”一樣的統(tǒng)計數(shù)字嗎?它能買、能賣嗎? 在理論上，一個股價指數(shù)所代表的“貨”就是把這個股價指數(shù)所 包含的所有股票，按它們在指數(shù)里所占的比例組合而成的“股票組合 ”(stock portfolio)。
在此，姑且別管股價指數(shù)為什么可以是一個特定股票組合的同 義詞。要了解股價指數(shù)期貨，最簡單的方法還是先看它身為投機工具 的一面：股價指數(shù)期貨是以約定的股價指數(shù)漲跌幅度來決定輸贏大小 的一個工具。新加坡國際金融交易所預(yù)定推出的“摩根新加坡指數(shù)期 貨”(SIMEX Singapore Stock Index Futures，簡稱 SiMSCI)選用 的指數(shù)只不過是眾多摩根史丹利資本國際 (MSCI)股價指數(shù)中的一 個。我們在本系列之五將會介紹這個指數(shù)。為簡化行文起見，以下就 將此指數(shù)簡稱為“摩根新加坡指數(shù)”。
摩根新加坡指數(shù)期貨的合約規(guī)范細節(jié)尚待擬定落實。已經(jīng)知道的 是，指數(shù)每點價值將訂為 200 新元;依到期日的不同，會有6個期貨 合約同時掛牌。 交易按金將約為期貨合約價值的10%。以摩根新加坡 指數(shù)在1998年5月8日周五的收盤水平 190.9 為根據(jù)的話，一個期貨 合約的價值是3萬8180元，也就是大約4萬元。以下我們假設(shè)此合約的 初始保證金 (initial margin)是5000元、 維持保證金( maintenance margin)是4000元。(此兩個數(shù)字并不代表兩筆保證金 ，而是一只期貨合約的保證金戶頭的兩個水平。) 當(dāng)兩方買賣指數(shù)期貨，買方是根據(jù)其研究、信息等，判斷特定時 候的指數(shù)會超過特定水平，賣方則認為同個時候的指數(shù)會低過該水平 。這個選定的時候就是該期貨合約的“到期日”，交易所會將期貨的 到期日標準化，摩根新加坡指數(shù)期貨的到期日是 3、6、9、12月份以 及其他最近兩個月份的最后一個股市交易日。如此，這個指數(shù)期貨會 有6個到期日各異的不同期貨合約。隨著時間的經(jīng)過，“近”的合 約 先到期，“遠”的合約遲些到期。到期時，所
有尚未“蓋盤”的合約 都要結(jié)算、交割清楚，之后該合約也就不復(fù)存在了。
如果沒有股價指數(shù)期貨可供買賣，投資者對一個股市的全盤平均 走勢看漲時，他就得進一步?jīng)Q定應(yīng)該買哪些股票。這會產(chǎn)生至少兩個 問題：第一、股市平均漲 10% 的話，他買入的股票大概不會湊巧也 漲 10%。如果漲得更多，他自然開心;但也很可能漲幅較小，甚或不 漲反跌。此時，除了頓足捶胸，就只能嘆：“如果有股價指數(shù)期貨就 好了!” 第二個問題是，如果想十足跟進股市漲潮，他得買進足夠 數(shù)公司的股票，所需的資本不是三、五萬元就能擺平的。
反之，假設(shè)他對股市的全盤平均走勢看跌。如果他未持有任 何股票， 當(dāng)局又不許賣空，他除了在場外窮叫嚷之外，不能利用自 己的“高見”得利，誠然可惜。如果他持有某些股票，他可以把這些 股票賣了，將來再趁低吸購。問題是，就算股價指數(shù)真的下跌了(即 他的預(yù)測正確)，有可能他賣掉的那張股票偏偏逆流而上。
這些苦惱都能因股價指數(shù)期貨的到來而解決。
假設(shè)張三相信摩根新加坡指數(shù)在9月30日(9月的最后一個股市交 易日)的水平會高于 180 點，他在 8月24日以 180.0 的價格買進摩 根新加坡指數(shù)9月期貨一只，張三于是有了一個買空盤口 (long position)。我們假設(shè)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(guī)定的最低保證金數(shù)額;經(jīng)紀 商是可以視情況向顧客要求較高的保證金的)，他必須即時就他所開 的盤口繳交初始保證金5000元。
對于每個期貨合約，交易所在每個交易日結(jié)束后，都會宣布該 合約的結(jié)算價格(我們可以將結(jié)算價格理解為該合約當(dāng)時的市價)。
假設(shè)當(dāng)天閉市后，交易所宣布該期貨的結(jié)算價格是182.4，比起張三 的 買入價，起了 2.4 點，相當(dāng)于480 元(因為每點值 200 元)， 即張三當(dāng)天已經(jīng)有了 480元的“紙面利潤”。
期貨交易有個特色，就是：雖然理論上買賣雙方的輸贏要等 到9月30日才能根據(jù)當(dāng)天的摩根新加坡指數(shù)水平來決定;然而，在實 際作業(yè)上，為了避免賠錢方到時賴帳，期貨交易透過交易保證金實施 “逐日結(jié)算制”(Mark-to-Market )，在這個制度下，8月24日閉市結(jié) 算后，張三存于其經(jīng)紀商的保證金戶頭就會增加 480元。
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