The Futures Derivatives (Gianni Nicolini) Course (A.Y. 2018/19)

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Presentation transcript:

The Futures Derivatives (Gianni Nicolini) Course (A.Y. 2018/19) © November 2018

Buyer (Long position) Gains  Underlying asset  Losses

Seller (Short position) Gains  Underlying asset  Losses

? Example n°1

Day 1 2 3 4 5 F o r w a r d Buyer Seller (9,80-10) x 100 = –20€ 1 2 3 4 5 FUTURE … Notional: 100 unit Forward price: 10€ Duration 5 periods F o r w a r d Buyer Seller Underlying asset Underlying asset (9,80-10) x 100 = –20€ (10-9,80) x 100 = +20€ – 20€ +20€

Day F u t u r e 100€ 100€ Notional: 100 unit Forward price: 10€ Notional: 100 unit Forward price: 10€ Duration 5 periods Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 100€ 100€

Day 1 F u t u r e +0,20€ 120€ 80€ Notional: 100 unit Forward price: 1 Notional: 100 unit Forward price: 10€ Duration 5 periods +0,20€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 120€ 80€

Day 1 2 F u t u r e +0,30€ 150€ 50€ Notional: 100 unit Forward price: 10€ Duration 5 periods +0,30€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 150€ 50€

Day 3 2 F u t u r e – 0,40€ 110€ 90€ Notional: 100 unit Forward price: Duration 5 periods – 0,40€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 110€ 90€

Day 3 4 F u t u r e – 0,60€ 150€ 50€ Notional: 100 unit Forward price: 10€ Duration 5 periods – 0,60€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 150€ 50€

Day 4 5 F u t u r e +0,30€ 120€ 80€ +20€ – 20€ Notional: 100 unit FORWARD … Notional: 100 unit Forward price: 10€ Duration 5 periods +0,30€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 120€ +20€ 80€ – 20€

? Example n°2

Day F u t u r e 100€ 100€ Notional: 100 unit Forward price: 10€ Notional: 100 unit Forward price: 10€ Duration 5 periods Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 100€ 100€

Day 1 F u t u r e +0,20€ 120€ 80€ Notional: 100 unit Forward price: 1 Notional: 100 unit Forward price: 10€ Duration 5 periods +0,20€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 120€ 80€

Day 2 1 F u t u r e +0,30€ 150€ 50€ Notional: 100 unit Forward price: 10€ Duration 5 periods +0,30€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 150€ 50€

Day 3 2 F u t u r e +0,40€ 190€ 10€ Notional: 100 unit Forward price: Duration 5 periods +0,40€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 190€ 10€

To refill the margin account To exit from the market To refill the margin account

Day 3 F u t u r e +0,40€ 190€ 60€ Margin refill Notional: 100 unit Forward price: 10€ Duration 5 periods +0,40€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 190€ 60€

Day 3 4 F u t u r e +0,20€ 210€ 40€ Margin refill Notional: 100 unit Forward price: 10€ Duration 5 periods +0,20€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) 210€ F u t u r e 40€

Day 4 5 F u t u r e +0,10€ 220€ 30€ Margin refill +120€ – 120€ = – 50€ Notional: 100 unit Forward price: 10€ Duration 5 periods +0,10€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 220€ +120€ – 120€ = – 50€ + – 70€ 30€

To refill the margin account To exit from the market To refill the margin account

Day 3 F u t u r e +0,40€ 190€ 10€ …€ 100€ Exit from the market 10€ 10€ Notional: 100 unit Forward price: 10€ Duration 5 periods +0,40€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 190€ 10€ 10€ 10,90€ 10,90€ 10€ …€ 100€

Day 3 F u t u r e +0,40€ 190€ 100€ 10€ Exit from the market Notional: 100 unit Forward price: 10€ Duration 5 periods +0,40€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) F u t u r e 190€ 100€ 10€

Day 3 4 F u t u r e +0,20€ 210€ 190€ 100€ 80€ 10€ Exit from the market Notional: 100 unit Forward price: 10€ Duration 5 periods +0,20€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) 210€ F u t u r e 190€ 100€ 80€ 10€

Day 4 5 F u t u r e +0,10€ 220€ 210€ 80€ 70€ 10€ Exit from the market Notional: 100 unit Forward price: 10€ Duration 5 periods +0,10€ Initial margin: 10% Minimum margin: 6%(… threshold 1%) 220€ 210€ F u t u r e +120€ 80€ 70€ – 30€ – 90€ 10€

THE END The Futures Derivatives (Gianni Nicolini) Course (A.Y. 2018/19) The Futures (Gianni Nicolini) THE END © November 2018