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CONTENTS

24

08

Cover Story

26 37

www.dce.com.cn

GLOBAL DERIVATIVES MARKET

Exchange News 01

Regulatory Update 04

Industry News 06

Market Opinions

07

08

10

12

Voices from Events

14

15

16

17

Comments and Features

18

20

24

26

Macro-Economic Focus

28

32

35

Commodity Focus

37

39

40

Trading Strategies

41

42

New Contracts

44

44

Statistics 45

01

EXCHANGE NEWS

02

EXCHANGE NEWS

January 2018 GLOBAL DERIVATIVES MARKET

Theodor Weimer

Xavier Rolet

03

EXCHANGE NEWS

04

REGULATORY UPDATE


European Union

05

REGULATORY UPDATE

06January 2018 GLOBAL DERIVATIVES MARKET

INDUSTRY NEWS

07

MARKET OPINIONS

08

MARKET OPINIONS


09

MARKET OPINIONS

10

MARKET OPINIONS


11

MARKET OPINIONS

12

MARKET OPINIONS


13

MARKET OPINIONS


VOICES FROM EVENTS

15

VOICES FROM EVENTS


VOICES FROM EVENTS

17

VOICES FROM EVENTS


COMMENTS AND FEATURES

19


20



21


22



23


24



近年来，鉴于欧美反垄断监管机构数次阻止交易所的大型并购活动，一些交易所只好转

向有机增长和多元化发展。

封面故事COVER STORY

25


26



27



MACRO-ECONOMIC FOCUS

29


30



31


32



33


34



35


36



37

COMMODITY FOCUS


COMMODITY FOCUS

Ma Rodriquez

39

COMMODITY FOCUS


COMMODITY FOCUS

41

T r a d e r Q & A

How would you best describe your trading style?I work closely with my technology provider to ensure I have the best tools available to trade the main markets I use. What is the best and worst thing about the market right now?The best thing about the market I would say is that spoofing is not as common as it was just two or three years ago, and this can be attributed to the action against Navinder Singh Sarao. The worst thing about the market is the relative lack of volatility. There are sporadic episodes but oil has gone flat and interest rates are pretty much priced in.

What is your outlook for the rest of this year?Like everyone, I would expect the equities bubble to deflate somewhat and further volatility around UK sterling. Interest rates have been pretty well covered already I think.What products are you excited about right now?There is no getting round it but it’s all about the Cboe and CME bitcoin futures, with bitcoin whip-sawwing there is obvious demand particularly from retail brokers, but I can understand the banks are nervous about their exposure through the clearing house.What advice would you give to a new trader?Learn the fundamentals and get close to your technology provider and clearing brokers, they are two of the most important relationships you will have.What would you have been if you weren't a trader?Possibly an engineer or something in science.

TRADING STRATEGIES

42

TRADING STRATEGIES

T R A I N I N G

Description:A long put butterfly is composed of two short puts at a middle strike, and long one put each at a lower and a higher strike. The upper and lower strikes (wings) must both be equidistant from the middle strike (body), and all the options must be the same expiration.

Outlook:The investor is looking for the underlying stock to achieve a specific price target at expiration.

Summary:This strategy profits if the underlying stock is at the body of the butterfly at expiration.

Motivation:Profit by correctly predicting the stock price at expiration.

Variations:The long call butterfly and long put butterfly, assuming the same strikes and expiration, will have the same payoff at expiration.

They may, however, vary in their likelihood of early exercise should the options go into-the-money or the stock pay a dividend.

While they have similar risk/reward profiles, this strategy differs from the short iron butterfly in that a negative cash flow occurs up front, and any positive cash flow is uncertain and would occur somewhere in the future.

EXAMPLE

Long 1 XYZ 65 put

Short 2 XYZ 60 puts

Long 1 XYZ 55 put

Maximum Gain

High strike - middle strike - net premium paid

The maximum gain would occur should the underlying stock be at the middle strike at

0

55 60 65 7050

+

-

Net Position (at expiration)


expiration. In that case, the long put with the upper strike would be in-the-money and all the other options would expire worthless. The profit would be the difference between the upper and middle strike (the wing and the body), less the premium paid for initiating the position.

Maximum Loss

Net premium paid

The maximum loss would occur should the underlying stock be outside the wings at expiration. If the stock were above the upper strike all the options would expire worthless; if below the lower strike all the options would be exercised and offset each other for a zero profit. In either case the premium paid to initiate the position would be lost.

Profit/Loss

The potential profit and loss are both very limited. In essence, a butterfly at expiration has a minimum value of zero and a maximum value equal to the distance between either wing and the body. An investor who buys a butterfly pays a premium somewhere between the minimum and maximum value, and profits if the butterfly's value moves toward the maximum as expiration approaches.

43

TRADING STRATEGIES

Breakeven:The s t ra tegy breaks even i f a t expiration the underlying stock is above the lower strike or below the upper strike by the amount of the premium paid to initiate the position.

Volatility:An increase in implied volatility, all other things equal, will usually have a slightly negative impact on this strategy.

Time Decay:The passage of time, all other things equal, will usually have a positive impact on this strategy if the body of the butterfly is at-the-money and a negative impact if the body is away from the money.

Assignment Risk:The short puts that form the body of the butterfly are subject to exercise at any time, while the investor decides if and when to exercise the wings. The components of this position form an integral unit, and any early exercise could be disruptive to the strategy. Since the cost of carry sometimes makes it optimal to exercise a put option

early, investors using this strategy should be e x t r e m e l y w a r y i f t h e b u t t e r f l y m o v e s into-the-money.

And be aware, a situation where a stock is involved in a restructuring or capitalization event, such as a merger, takeover, spin-off or special dividend, could completely upset typical expectations regarding early exercise of options on the stock.

Expiration Risk:This strategy has an extremely high expiration risk. Consider that the maximum profit occurs when at expiration the stock is trading right at the body of the butterfly. Presumably the investor will choose to exercise their in-the-money wing, but there is no way of knowing for sure whether none, one or both of the puts in the body will be exercised. If the investor guesses wrong, they face the risk of the stock opening sharply higher or lower when trading resumes after the expiration weekend.

44

NEW CONTRACTS新合约点评


45

STATISTICS数据统计

326,272,790

132,964,020

58,249,109

340,625

258,269

1,258,335,980

1,008,941,458

533,644,281

57,045,007

29,105,586

24,315,839

15,178,650

3,482,213

3,092,108

245,980

106,130

英国

法国

荷兰

挪威

葡萄牙

匈牙利

意大利

55,813,8311,419,871

823,516191,508

288241

80

46


12,185,912

10,685,818

7,534,638

6,974,301

5,624,538

5,361,480

4,343,757

4,009,054

3,734,247

3,726,423

55,122,058

34,567,236

12,174,964

9,743,401

8,623,338

7,353,968

5,741,735

4,779,263

4,365,817

3,809,883



47

40,429,756

27,635,706

21,043,345

10,006,515

9,679,257

6,485,635

6,038,211

5,585,928

4,548,629

4,149,669

12,819,025

10,221,165

5,764,767

5,644,694

4,698,756

3,835,739

48


78,006,212

75,110,676

41,258,574

40,075

26,492

990

56,487,866

41,262,141

40,145,040

18,310,165

12,071,563


Her

eMay

.com

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C Rb Rb- Fªuæ R...C Rb Fªuæ R CONTENTS 24 Y ~`'\PÒJ>m¸fµ8Ð6 C &xWÇ0bJ DÎ C S!ê3¥Þ%ßYÚ .y4 PCo3xERèSPOÚYÍ« Z]& Q J?n¸7U4 C ú][, ê3% %ò & Q J?.¢7ò Û.ÔR Rè6hª