7

I.


.

II.

.
2


III.
1.
2.
3.


I.

A.
1.
2.
3.

()

(
)


1972:
Chicago Mercantile Exchange

(the International Monetary Market - IMM).
:
.

( )
.

( )
, .
7

:
1.)
2.)
3.)
4.)
5.)
6.)
7.)

/ 62,500
/100,000
/ 125,000
/ 125,000
/ 12.5
/ 500,000
/ 100,000
8

:
.

(
0.02% ).


a :

.

.
, .. (daily
settlement)
.

10

,
.

, a

( 75%),
,
.

( ).

11


( )

, ..
125.000
0,75 / .
1.452 .
0,755 ,
625 (125.000 x
0.005). ( )
.

625 ,
.
0,743
1.500 (125.000 x 0,012).

: 625 1500 = - 875 .

12


( )

, .

, .

,
,
.
13

1.)


.
2.)
.. margin call
()
.
14


( )
:

10 ,
.
1 = 1 ,
.

.

15


( )
1.

2.

3.

10
o .
$125,000 ,
short () 40
.

, $2,000 ,
$80,000.

,
.

.

16


( )
4.

5.

6.

,
1 = $0.96, 10
()
$9,600,000.
,
$480,000 ($400,000
$80,000).
, $10,000,000
.

17

:
1.)
2.)
3.)
4.)
5.)
6.)

I.M.M. International Monetary Market

L.I.F.F.E.London International
Financial Futures Exchange
C.B.O.T. Chicago Board of Trade
S.I.M.E.X. Singapore International
Monetary Exchange
D.T.B. Deutsche Termin Bourse
H.K.F.E. Hong Kong Futures Exchange

18


B.

:
1.
2.
3.

4.

5.
6.

7.
8.

19


:
1.)
2.)
.

:
1.) 7

2.)

3.)

.
20

 II

Philadelphia Exchange (PHLX).

.
22

CALL

PUT
23

:
,

,

.

24

a.
:


.
b.
:

, .
25

a.

strike .

b.

26


:
1)

Call -

2)

Put -

27

a.
Call: Spot > strike
Put: Spot < strike

b.

Call: Spot < strike

Put: Spot > strike

c.

Spot = the strike
28


?
-
.

29

?
1.

,
,

.
2.

.
30

31

put
(: FF250,000)
$0.01/FF.
$0.21
$0.216,
( ) ?

32


1.
2.
3.
4.

5.

FF250,000 $0.21.
$2,500
($0.01 ).
$0.216.
,

(
$0.006 ).

$2,500.
33

,
FF250,000 $0.21:
1. ,
$0.006
$1,500.
2.
$1,000,
$1,500

$2,500.
34


PUT
= ( + )

:
= 0.21 (0.216 + 0.01) = - 0.016

CALL
= ( + )

:
= 0.216 (0.21 + 0.01) = - 0.004
35

( )
( )

()
( )

,

.
36

,
;

,
,
.

,

.
37

 III


1.

,

,
,

.

39


2.


,
,

.

40

(Citibank)
.
(Lloyds)
.

.
/ $2.00,
$2.10
$0.1 .
41



:
( ) / =
0.1 $ / 2.00 $ = 0.05 %
()
:

0.05 / 3 ( ) x 12 =
0.2 20%
20 %
42

()

.
43