50 lines
3.4 KiB
Plaintext
50 lines
3.4 KiB
Plaintext
5FOr Beginners Only
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■ Contract Specifications
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Futures contracts are traded for a wide variety of markets on a number of exchanges both in the
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United states and abroad. The specifications for these contracts, especially details such as daily price
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limits, trading hours, and ticker symbols, can change over time; exchange web sites should be con-
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sulted for up-to-date information. Table 1.1 provides the following representative trading details for
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six futures markets (
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e-mini s&P 500, 10-year T -note, euro, Brent crude oil, corn, and gold):
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1. exchange. note that some markets are traded on more than one exchange. in some cases,
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different contracts for the same commodity (or financial instrument) may even be traded on the
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same exchange.
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2. ticker symbol. The quote symbol is the letter code that identifies each market (e.g., es for
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the e-mini s&P 500, C for corn, eC for the euro), combined with an alphanumeric suffix to
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represent the month and year.
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3. Contract size. The specification of a uniform quantity per contract is one of the key ways in
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which a futures contract is standardized. By multiplying the contract size by the price, the trader
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can determine the dollar value of a contract. For example, if corn is trading at $4.00/bushel (bu),
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the contract value equals $20,000 ($4 × 5,000 bu per contract).
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if Brent crude oil is trading at
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$48.30, the contract value is $48,300 ($48.30 × 1,000 barrels). although there are many impor-
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tant exceptions, very roughly speaking, higher per-contract dollar values will imply a greater
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potential/risk level. (The concept of contract value has no meaning for interest rate contracts.)
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4. Price quoted in. This row indicates the relevant unit of measure for the given market.
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5. Minimum price fluctuation (“tick”) size and value. This row indicates the minimum
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increment in which prices can trade, and the dollar value of that move. For example, the mini-
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mum fluctuation for the
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e-mini s&P 500 contract is 0.25 index points. Thus, you can enter an
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order to buy December e-mini s&P futures at 1,870.25 or 1,870.50, but not 1,870.30. The
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minimum fluctuation for corn is 1
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4 ¢/bu, which means you can enter an order to buy December
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corn at $4.01 1
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2 or $4.01 3
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4 , but not $4.01 5
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8 per bushel. The tick value is obtained by multiply-
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ing the minimum fluctuation by the contract size. For example, for Brent crude oil, one cent
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($0.01) per barrel × 1,000 barrels = $10. For corn,
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1
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4 50 00 12 50¢/bu ×=,$ ..
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6. Contract months. each market is traded for specific months. For example, the e-mini s&P
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500 futures contract is traded for March, June, september, and December. Corn is traded for
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March, May, July, september, and December. Table 1.2 shows the letter designations for each
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month of the year, which are added (along with the contract year) to a market’s base ticker
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symbol to create a contract-specific ticker symbol. For example, December 2017
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e-mini s&P
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500 futures have a ticker symbol of esZ17, while the symbol for the March 2018 contract is
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esH18. The symbol for May 2017 corn is CK17. The last trading day for a contract typically
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occurs on a specified date in the contract month, although in some markets (such as crude oil),
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the last trading day falls in the month preceding the contract month. For most markets, futures
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are listed for contract months at least one year forward from the current date. However, trading
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activity is normally heavily concentrated in the nearest two contracts. |