????(Long Hedge,Buying Hedge)

1
?????????

• ???

2
????

• ??????
• ????????
• ??????
• ??????
• ??

3
??????

• ????????????
• ????(Long Hedge,Buying Hedge)
• ???????????????????????????
• ????(Short Hedge,Selling Hedge)
• ?????????????????????????????

4
?5-1 ?????????
???? ???? ????
????? ???????? ????
????? ?????? ???????????
???? ???? ????
????? ???????? ????
????? ?????? ???????????
5
??5-1?-????

• ?????1?25?,??????????????5?15???100,000???????,???
  ???????140??,??COMEX????????(??????5?15?)?????????
  120??,?????????????25,000????????????COMEX????????
  ???????????5?15??????????125???120???105??,???????
  100,000?????????????,??????????

6
??5-1?-????

1. ??????????????,????????,???????????COMEX?????????
2. ?5-2 ?????????

A B C
??5???????? 120 120 120
5?15?????? 125 120 105
?????????? 500,000 0 -1,500,000
?????100,000????? 12,500,000 12,000,000 10,500,000
?????100,000????? 12,000,000 12,000,000 12,000,000
7
??5-1?-????(?)

• ???5-1????C,?5?15??????????105??,?????
• ??????????,??5?15???100,000?????????10,500,000??
• ????????????,??5?15???100,000?????????12,000,000??
  
• ??????1,500,000?,???????????,?????5?15????????
  ???????????????????????
• ??????????????????????????????????

8
??5-2?-????

• ?????1?25?,??????????????5?15???100,000??,????????
  ??110??,??COMEX????????(??????5?15?)?????????120??
  ,?????????????25,000??????????????COMEX???????????
  ????????5?15??????????125???120???105??,???????100
  ,000?????????????,??????????

9
??5-2?-????

• ?????????????????,????????,????????COMEX?????????
• ?5-3 ?????????

A B C
??5???????? 120 120 120
5?15?????? 125 120 105
?????????? -500,000 0 1,500,000
?????100,000????? 12,500,000 12,000,000 10,500,000
?????100,000?????? 12,000,000 12,000,000 12,000,000
10
??5-2?-????(?)

• ???5-3????A,?5?15??????????125??,??????
• ??????????,??5?15???100,000????????12,500,000??
• ????????????,??5?15???100,000?????????12,000,000??
  
• ??????500,000?,???????????,?????5?15??????????
  ?????????????????????

11
???????

• ??????????????
• ???????????,??????????????
• ?????????????????????
• ?????????????????????????,????????????????????
  ????,??????????????????????

12
???????

• ????????????
• ???????????
• ????(Basis Widening)???????
• ????(Basis Narrowing)???????
• ???????????
• ????(Basis Strengthening)?????????
• ????(Basis Weakening)?????????

13
???????(?)
????
?? ???? ???? ?? ???????? ????????
???? t0 400 405 -5 ?? ??
???? t1 402 406 -4 ?? ??
???? t0 405 400 5 ?? ??
???? t1 406 402 4 ?? ??
????
????
14
?????????????????

• ??
• S1???t1?????
• S2???t2?????
• F1???t1?????,?????T?T gt t2 ? t1
• F2???t2?????,?????T?T gt t2 ? t1
• b1???t1?????
• b2???t2?????

15
??????????????

• ??????????t2?????,??????F1??????????,???t2????????
  (F2-F1),?????????S2,???????t2????????????
• ??? S2 (F2 - F1)
• S2 (F2 - F1) S1 - S1
• S1 (b2 - b1)
• ?????(?????3??5) ?(b2-b1) gt 0
• ???????t2???????????,????????
• ?????(?????5??3) ?(b2-b1) lt 0
• ???????t2???????????,????????

16
??????????????

• ????????t1??????????t2?????,?????F1??????????,???t
  2????????(F1-F2),?????????S2,???????t2????????????
  
• ??? S2 (F1 - F2)
• S2 (F1 - F2) S1 - S1
• S1 (b2 - b1)
• ?????(?????3??5) ?(b2-b1) gt 0
• ???????t2???????????,????????
• ?????(?????5??3) ?(b2-b1) lt 0
• ???????t2???????????,????????

17
??

• ?????????????
• ?????????????

18
?????????????

• ???????????,??????????????????????????????????????
  ????
• ???????????
• ???????????
• ????(Cross Hedge)??????????????????????????

19
?????????????(?)

• ??????,??????????????????????,?????????
• ???????? (2??)????5????,???5??????????,???5??????
  ?????????????????????,??6?????????,??????????5????
  ???????,??????????????

20
?????????????(?)

• ???????(??????????,???????????????),????????????,?
  ?????
• ???????(Rolling Hedge),????????????????,??????????
  ???,?????????????????
• ??????????????,?????????????????????

21
?????????????(?)
???? ?? ??
??????? ?????? ????????????
?????????????? ????????? ??????(????????????)
22
????????

• ????????????????
• ?????(Naive Hedge Method)
• ??????????(Minimum Variance Hedge Ratio Method)

23
?????

• ?????????(Perfect Hedge Method),?????????????????
  ?????,???????????
• ?????????????,????????????????????
• ???????????????????? ???????
• ???????????????????????????,?????????????????????
  ???

24
??5-3?-?????

• ????????????????20????,????????????5000?,?????????
  200?,??????????????????????,??????????????????
• ???
• ?????????? 5000 200
• 1,000,000
• ?????????? 2,000,000,000 1000000
• 2,000
  (?)

25
??????????

• ????????????????????????????????(Regression
  Method)?
• ??
• ?S????????????
• ?F????????????
• ss??????????
• sF??????????
• ??S??F??????
• ??
• h (?????????)

26
??5-4?-??????????

• ?????????????????????????????????????0.8,?????????
  ??????????0.5,?????????????????0.4,???????????????
  ???
• ???
• h0.8(0.50.4)1.2
• ?????????????1.2

27
????????? h (?????????)

• ????????????????
• ss (??????????)
• sF (??????????)
• ? (?S??F??????)
• ???1?sF ss,?h1?(?????????????????????,???????
  ?????????????????)
• ????????,?ss??????,?h???
• ????????,?sF??,?h???

28
?5-1 ??????????????????
??????
h
????
29
??h

• ???,???h??????????(??????)????????(??????)?????,?
  ?????,???????
• ?S a b ?F
• ??
• a???
• b????(??????????h)
• ????????????R2?
• R2????????????????????????????????????????
• 0 lt R2 lt 1???R2????1,???????h?????????

30
??????

• ????(Day trade)??
• ????(Position trade)??

31
??????

• ???????????????,??????????????,???????????????????
  ???????????
• ????(Day trade)??????????????,???????????????????
  ,?????????????(Overnight risks) ?
• ???(Scalpers)????????,?????????????????,?????????

32
???? v.s. ????
?? ??
???? ?????????,??????????????
???? ????????????,???????????
33
??????

• ?????
• ????????(Outright Position Trading)
• ???????????????,??????????????????
• ??????(Spread Trading Strategy)
• ???????????,?????????????????????????????????????
  ?,?????????????????????????,??????????????????????
  ?????????????????????????????

34
??????

• ??????(Intermonth spreads)
• ???????(Intermarket spreads)
• ???????(Intercommodity spreads)
• ??????????(Commodity-product spreads)
• ??????(Butterfly spreads)
• ??????(Condor spreads)
• ??????(Tandem spreads)

35
??????(Intermonth spreads)

• ?????????,????????????????????????
• ??
• ????????,?????????????????????????????(?)
• ???????(?)???????,???(?)???????????
• ????????,?????????????????????????????(?)
• ???????(?)???????,???(?)???????????

36
???????(Intermarket spreads)

• ?????????,???????????????????????
• ???SGX????225??????,????????????225???????
• ??????????????????????,?????????????????????,????
  ?????????,?????????????????

37
???????(Intercommodity spreads)

• ???????????,??????????????
• ??????(Ted Spreads)
• ????3????????????,???????????????

38
??????????(Commodity-product spreads)

• ??????????????????,??????????????
• ???????????????,??????????????????,????CBOT??????
  ???,??????????????

39
??????(Butterfly spreads)

• ????????????(????????????) ??????????????????????
  ???
• ????????????????????????????????????????????,????
  ??????????(???????????????,??????????????)????????
  ?????????(????????????,?????????????????)?
• ???????????(??????????)????????????????????????
  ???????????????????????????????

40
??????(Condor spreads)

• ?????????????????????????????????????????????????
  ??????????
• ??????????(???????????)?????????????????,????????
  ??????????????
• ??????????(???????????)
• ??????????????

41
??????(Tandem spreads)

• ????????????????????????????????
• ???SGX??3???6????225??????,??????????3???6????225
  ???????

42
??????

• ???????????????????,??????????????????
• ???????????????????(Index arbitrage)?
• ??????
• ??????

43
??????

• ????????????gt?????????????
• ??5-5??????1?1?,??????????????????????5950?,?????
  ??5900?,??????????3,?????????0.5,???????????????
  ????
• F(0, 3m) 5900 10.030.25 - 0.0050.25
• 5936.88
• ?????????,??????????????5950 gt
  ???????5936.88,??????????????????????????

44
?5-4 ??????
??????gt???????? ??????gt???????? ??????gt????????
?? ?? ?????????
???? ??????????????(F(0,3m)5950) 0 -S(3m)-5950
???? ?? 5900 ???????? -5900 -590010.030.25-0.0050.25 S(3m)
??? ?? 0 13.22
45
??????

• ????????????lt?????????????
• ??5-6??????1?1?,??????????????????????5910?,?????
  ??5900?,??????????3,?????????0.5,???????????????
  ????
• F(0, 3m) 5900 10.030.25 - 0.0050.25
• 5936.88
• ?????????,??????????????5910 lt
  ???????5936.88,??????????????????????,???????????

46
?5-4 ??????
??????lt???????? ??????lt???????? ??????lt????????
?? ?? ?????????
???? ??????????????(F(0,3m)5910) 0 S(3m)-5910
???? ?????? -5900 ???????? 5900 590010.030.25-0.0050.25 -S(3m)
??? ?? 0 26.88
47
?????????

• ??????????????,???????????????????
• ?????????,?????????(Programming Trading)???????
• ???????????????????,????????????,????????????????,
  ???????????????

48
??

• ???????????????,???????????????,??,???????????????
  ???????????????????????????????,?????????????????
  ??????????????????????????????,????????????????,?
  ??????????????????????????????,????????????,?????
  ?????,???????????????????,???????????????,????????
  ????