● 茆懿心博士 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 that the 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）
(the writer is senior lecturer of the department of finance
and accounting, nus & a resource panelist of sph's chinese
newspapers.)
股价指数期货买卖什么？
“黄金期货”买卖的是来日交货的黄金，“货币期货”（或称
“外汇期货”）是以某个货币（例如美元）买卖另一个货币（例如日
元）；在香港期货交易所里买卖的“汇丰银行股票期货”买卖的是汇
丰银行的股票。这些期货买卖的标的物都很明确、很具体。可是，“
股价指数期货”究竟在买卖些什么呢？“股价指数”不就是一个如同
“通胀指数”一样的统计数字吗？它能买、能卖吗？
在理论上，一个股价指数所代表的“货”就是把这个股价指数所
包含的所有股票，按它们在指数里所占的比例组合而成的“股票组合
”（stock portfolio）。
在此，姑且别管股价指数为什么可以是一个特定股票组合的同
义词。要了解股价指数期货，最简单的方法还是先看它身为投机工具
的一面：股价指数期货是以约定的股价指数涨跌幅度来决定输赢大小
的一个工具。新加坡国际金融交易所预定推出的“摩根新加坡指数期
货”（simex singapore stock index futures，简称 simsci）选用
的指数只不过是众多摩根史丹利资本国际 （msci）股价指数中的一
个。我们在本系列之五将会介绍这个指数。为简化行文起见，以下就
将此指数简称为“摩根新加坡指数”。
摩根新加坡指数期货的合约规范细节尚待拟定落实。已经知道的
是，指数每点价值将订为 200 新元；依到期日的不同，会有6个期货
合约同时挂牌。 交易按金将约为期货合约价值的10%。以摩根新加坡
指数在1998年5月8日周五的收盘水平 190.9 为根据的话，一个期货
合约的价值是3万8180元，也就是大约4万元。以下我们假设此合约的
初始保证金 （initial margin）是5000元、 维持保证金（
maintenance margin）是4000元。（此两个数字并不代表两笔保证金
，而是一只期货合约的保证金户头的两个水平。）
当两方买卖指数期货，买方是根据其研究、信息等，判断特定时
候的指数会超过特定水平，卖方则认为同个时候的指数会低过该水平
。这个选定的时候就是该期货合约的“到期日”，交易所会将期货的
到期日标准化，摩根新加坡指数期货的到期日是 3、6、9、12月份以
及其他最近两个月份的最后一个股市交易日。如此，这个指数期货会
有6个到期日各异的不同期货合约。随着时间的经过，“近”的合 约
先到期，“远”的合约迟些到期。到期时，所
有尚未“盖盘”的合约
都要结算、交割清楚，之后该合约也就不复存在了。
如果没有股价指数期货可供买卖，投资者对一个股市的全盘平均
走势看涨时，他就得进一步决定应该买哪些股票。这会产生至少两个
问题：第一、股市平均涨 10% 的话，他买入的股票大概不会凑巧也
涨 10%。如果涨得更多，他自然开心；但也很可能涨幅较小，甚或不
涨反跌。此时，除了顿足捶胸，就只能叹：“如果有股价指数期货就
好了！”
第二个问题是，如果想十足跟进股市涨潮，他得买进足够家
数公司的股票，所需的资本不是三、五万元就能摆平的。
反之，假设他对股市的全盘平均走势看跌。如果他未持有任
何股票， 当局又不许卖空，他除了在场外穷叫嚷之外，不能利用自
己的“高见”得利，诚然可惜。如果他持有某些股票，他可以把这些
股票卖了，将来再趁低吸购。问题是，就算股价指数真的下跌了（即
他的预测正确），有可能他卖掉的那张股票偏偏逆流而上。
这些苦恼都能因股价指数期货的到来而解决。
假设张三相信摩根新加坡指数在9月30日（9月的最后一个股市交
易日）的水平会高于 180 点，他在 8月24日以 180.0 的价格买进摩
根新加坡指数9月期货一只，张三于是有了一个买空盘口 (long
position)。我们假设张三的经纪商对他要求的初始及维持保证金各
是5000 元及 4000 元（也就是交易所规定的最低保证金数额；经纪
商是可以视情况向顾客要求较高的保证金的），他必须即时就他所开
的盘口缴交初始保证金5000元。
对于每个期货合约，交易所在每个交易日结束后，都会宣布该
合约的结算价格（我们可以将结算价格理解为该合约当时的市价）。
假设当天闭市后，交易所宣布该期货的结算价格是182.4，比起张三
的 买入价，起了 2.4 点，相当于480 元（因为每点值 200 元），
即张三当天已经有了 480元的“纸面利润”。
期货交易有个特色，就是：虽然理论上买卖双方的输赢要等
到9月30日才能根据当天的摩根新加坡指数水平来决定；然而，在实
际作业上，为了避免赔钱方到时赖帐，期货交易透过交易保证金实施
“逐日结算制”(mark-to-market )，在这个制度下，8月24日闭市结
算后，张三存于其经纪商的保证金户头就会增加 480元。
（作者是新加坡国立大学企业管理学院高级讲师与华文报咨询团成员）
