SSF- single stock futures
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Lähiajal alustatakse USA-s uue kauplemisvahendiga- single stock futuurid.
Väike lühitutvustus.
These Single-Stock Futures (let's call them "SSF" for short) will be entirely new trading instruments tied to 85 of the top stocks. There will also be 15 "narrow-based indices" -- such as oil services, airlines, biotechs, computers, etc. -- which will represent small baskets of stocks allowing quick and easy trading on sectors.
Essentially, a futures contract will give you 5 to 1 leverage on the stock you want to buy, or sell short. Instead of buying 100 shares of IBM, say, you can buy one futures contract on IBM -- representing 100 shares -- and you only need to have 20% of the purchase price of the 100 shares as margin to do the transaction. Instead of spending $7,500 to buy 100 shares of IBM, you will just need $1500 in your account to capture the exact same point-for-point movement in IBM's stock.
Single Stock Futures Trading Strategies
Straight Trading Play: Single stock futures margin requirements will be 20%, compared with the 50% required to trade stocks on margin. This leverage means your investment dollars work harder for you, and the effect of any upward or downward price move is magnified. So buy low and sell high. Or sell high first and then buy low -- shorting futures is just as easy as going long.
Diversify into More Stocks: With less money tied up for margin when trading single stock futures, you’ll have funds available to trade more stocks than ever. Diversification is clearly a powerful benefit, but be careful not to take the leverage inherent in security futures too far.
Protect Your Stock Portfolio: If you have a portfolio of actual stocks and want to protect yourself against adverse market moves, don’t sell your equities -- rather, hedge by selling single stock futures contracts.
Trade Spreads between Stocks: Spread trading seeks to capitalize on changing relationships between underperforming and overperforming stocks or indices. For instance, if you think Pfizer will outperform Merck, then buy Pfizer futures, and sell Merck futures.
Spread a Stock against an Index: If you think Microsoft will do better than the S&P 500 in a down market, then buy Microsoft futures, and sell S&P 500 futures. Alternatively, if you think Microsoft will underperform the broad market, sell futures on Microsoft and buy the index.
Spread a Stock against a Narrow-Based Index: If you believe that Southwest will outperform other airline stocks, buy Southwest futures, and sell the narrow-based airline index.
Spread a Narrow-Based Index against a Broader-Based Index: If you happen to think that the Oil Services sector will outperform the broader market, buy this narrow-based index, and sell the S&P 500. You’ll profit if the Oil Services index performs better than the overall market, and in addition, if the broad market tumbles, you’ll be hedged with your short position in S&P futures.
Infot veel ssf kohta http://www.nqlx.com ja http://www.onechicago.com sealt leiab
ssf -ide ja narrow-based indeks futuuride nimekirjad ja palju muud.
Uus toode toob uusi võimalisi kauplemiseks. -
Kauplemine algab nädala pärast.
Chicago, Ill., Oct. 30, 2002--OneChicago, LLC today announced the first single stock futures to be traded at its launch on Friday, Nov. 8, 2002, pending regulatory approval. The Exchange also listed the single stock futures that had not already been revealed, to be offered during the first weeks of trading.
OneChicago Chairman and Chief Executive Officer William J. Rainer said, “OneChicago is offering futures on some of the most actively traded stocks from a variety of industries. Our intention is to continually add new products every two weeks until we have a complete menu of 100 security futures offerings.”
The initial product launch, which will trade with December 2002 contracts as the front month, include: Bank of America Corp. (BAC), Best Buy Co. Inc. (BBY), Brocade Communications Systems Inc. (BRCD), Citigroup (C), Dell Computer (DELL), Exxon Mobil Corp. (XOM), General Electric (GE), Goldman Sachs Group Inc. (GS), Hewlett Packard (HPQ), Home Depot Inc. (HD), Johnson & Johnson (JNJ), JP Morgan Chase & Co. (JPM), Merck & Co. Inc. (MRK), Microsoft Corp. (MSFT), Nokia Corp. ADR (NOK), Oracle Corp. (ORCL), Philip Morris (MO), Qualcomm Inc. (QCOM), SBC Communications Inc. (SBC), Schlumberger Ltd. (SLB) and VERITAS Software Corp. (VRTS).
OneChicago also unveiled additional single stock futures not previously announced that will be available for trading in the weeks following the launch. They include: 3M (MMM), Alcoa Inc. (AA), Altera Corp. (ALTR), Boeing Co. (BA), Caterpillar (CAT), Disney Co. (DIS), Dupont (DD), Eastman Kodak (EK), Honeywell Int’l. Inc. (HON), International Paper Co. (IP), Maxim Integrated Products Inc. (MXIM), McDonald’s Corp. (MCD), San Disk Corp. (SNDK) and United Technologies Corp. (UTX).
The Exchange is listing futures on narrow-based indices as well, which are already listed on the OneChicago Web site at www.OneChicago.com. -
lugesin kevadel pikemalt derivatiivinstrumentidest ja kuskil 1995.a. raamatus oli sellistest "tulevikuinstrumentidest" ka veidi juttu. tegemist on ilmselt väiksematele pleieritele mõeldud instrumentidega, indeksifutuurid on ju megakallid.
tundub, et spekuleerimine on moes. aga väga huvitav. -
maigret piip - indeksfutuuridega kauplemine on kümneid kordi odavam, kui aktsiatega kauplemine!
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e-mini indeksfutuuridel järgmised margin nõuded: S&P500 tähis ES 1 punkt 50$ margin7%
Nasdaq100 tähis NQ 1 punkt 20$ margin14%
DOW tähis YM 1 punkt 5$ margin 7%
Eks arvutage ise millise summaga saad tehinguid teha ja need polegi nii kohutavalt suured.
Ja kui on soov virtuaalportfelliga futuuridega tehinguid teha, siis enamus futuuribrookerite juures saab mingiks ajaks virtuaalportfelli kasutusse. Päris hea näpuharjutuseks.
e-mini futuurid on on oma lyhikese olemasolu juures enam populaarsemaks muutunud.
In a little over 4 years, since inception, average daily volume of the E-mini S&P 500 has grown from 11,000 contracts to nearly 240,000 contracts.
Kõige hiljem alustati kauplemist e-mini DOWga. Selle aasta aprillist ning on praegu suurima kasvuga futuur CBOT-il.Kasv on enam kui 20% kuus. Oktoobris jõuti juba 20000 tehinguni päevas ja avatud kontraktide arv on 17000. -
Teen yhe tehingunäite, kus yritan välja selgitada SSF võimendust võrreldes aktsia, dow e-mini ja optsiooniga.
Sellex võtan näitliku aktsia XYZ hinnaga 50$
Tulem % algsummast
aktsia hind tõseb 1$ võrra. Ei ole arvestanud
tehingukulusid. Dow tõus 100 punkti e. 1,2%
100 aktsia ostux vajalik 5000$ 100$ 2%
1SSF 1000$ 100$ 10%
1 DOW e-mini 5$ 2700$ 500$ 18,5%
1nov call 50$ 210$ 52$ ca25%
Algsumma millega saax neid kõiki omavahel võrrelda olex 2700$. selle eest saab
54aktsiat ;2,7 SSF ;1DOW emini ja 13 lepingut optsioonile
54$ 270$ 500$ 676$
SSF 5*võimendus aktsia suhtes
DOW e-mini 1,85* võimendus SSF-ga
ITM optsiooni 2,7*võimendus SSF-ga
Optsiooni parameetrid järgmised imp.volatility 53%, theta 0.08 , veega 0.035 -
viies:
The value of a CBOT DJIA Index futures contract is equal to $10 times the current index level. For example, if the index is trading at 7900, holding a futures contract is equivalent to investing $79,000 in the DJIA portfolio. When a CBOT DJIA futures contract is traded, the seller (short) is agreeing to sell $10 times the index and the buyer (long) is agreeing to buy $10 times the index on the expiration date of the contract.
no ma ei tea, kui odav kellegi jaoks üks indeksifutuur on, reedese seisuga tuleks ühe djia indeksifutuuri soetamiseks välja käia 1,346 mio kr... -
Indeksfutuuri ei "soetata" ja seetõttu pole vaja välja käia ka "soetamishinda".
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jah, seda küll, jutt on sellest summast, mille suhtes ollakse exposed. aga sageli võetakse futuure suuremas koguses ja 1%-line nihe tickeril tähendab megaliikumist portfellis. ja siis tulevad margin callid ja #...
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maigret piip - ära aja teenustasu ja alusvara hinda segamini.
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Kas keegi oskab prognoosida kuidas SSF-id hakkavad m6jutama alusvara hinnavolatiilsust?
Kas SSF-idel on mingid piirangud(stopid, kui hind liiga palju liigub) ja kas nendega hakatakse kauplema ka väljapool turgu? -
Graafik - Londonis on minu teada nendega kaubeldud ja paar aastat või vähemlat aasta.
kauplemisaeg on sama, mis futuuridel ehk siis üldjuhul juhul mingi 15 mintsa enne turgu ja 15 peale. Globexil ehk siis 24 h nendega ei kaubleda.
tõenäoliselt volatiilsust nad ei suurenda, sest tegemeist on eelkõige retail tootega. institutsioonid on selliste instrumentidega kaubelnud juba aastaid -
T2nu SSF-dele tuleb t2nast p2eva nimetada mitte triple-witching day'ks, vaid
quadruple-witching day'ks
