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Chapter 17 Stock Index Futures and Options
Stock Index Futures
• Stock index futures is a derivative product which acts like options. The differenciation is while most option deal with one stock, stock index futures deal with stock index.
Stock Index Futures Stock Index Options Options on Stock Index Futures
Trading Stock Index Futures
• Trading cycle is on four months of March, June, September, and December. The last day of trading for a contract is the third Thursday of the ending month.
• For buying or selling any stock index futures, it requires a basic margin. The basic margin are different among the index. Beside basic margin there is also margin maintenance requirement.
Stock Index Futures Stock Index Options Options on Stock Index Futures
Trading Stock Index Futures (cont’)
• Basis is a representation of the difference between the stock index futures price and the value of the actual underlying index.
• Futures contracts move instantaneously to reflect market conditions, where as the actual underlying index moves more slowly.
Stock Index Futures Stock Index Options Options on Stock Index Futures
Use of Stock Index Futures
Speculation
Hedging
Arbitraging
Stock Index Futures Stock Index Options Options on Stock Index Futures
Speculation
• The speculator may use stock index futures in an attempt to profit from major movements in the market.
• Some advantages of speculating on stock index futures are trader will be more efficient on invest in an index futures rather than investing in some stocks.
Use of Stock Index Futures Speculation Hedging Arbitraging
Speculation
• Second advantage is trader only need to put the money in the amount of required margin.
• Stock index futures contract also safer from manipulation and insider trading
Stock Index Futures Speculation Hedging Arbitraging
Hedging
• Hedging is the most important use of stock index futures.
• Ex : A portfolio manager has to choose whether to sell part or all of the portfolio in a declining market. – large transaction costs– difficult to liquidate a position in certain securities
that are thinly tradedsell one or more stock index futures as hedge against portfolioStock Index
Futures Speculation Hedging Arbitraging
Hedging
Other uses of hedging are :• underwriter hedge,• specialist or dealer hedge, • retirement or estate hedge, and• tax hedge.
Stock Index Futures Speculation Hedging Arbitraging
Arbitraging
• Arbitrage is set up when a simultaneously trade (a buy and a sell) occurs in two different markets and a profit is locked in.
Stock Index Futures Speculation Hedging Arbitraging
Trading Stock Index Options
• Stock index options also allow the market participant to speculate or hedge against major market movements, although there is no opportunity for arbitraging.
• There is only a cash settlement of the position, whereas in the latter case (individual securities), you can force the option writer to deliver the securities.
Stock Index FuturesStock Index Futures Stock Index Options Options on Stock Index Futures
Options on Stock Index Futures
Stock Index Futures Stock Index Options Options on Stock Index Futures
Option on stock index future
Option to purchase
Stock index future
Ex : S&P index futures
Option on stock index
Option to purchase
Underlying index
Ex : S&P 500 Index
Derivatif di Indonesia
Pengertian Derivatif
sumber: http://www.idx.co.id
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• Efek derivatif merupakan Efek turunan dari Efek “utama” baik yang bersifat penyertaan maupun utang. Efek turunan dapat berarti turunan langsung dari Efek “utama” maupun turunan selanjutnya. Derivatif merupakan kontrak atau perjanjian yang nilai atau peluang keuntungannya terkait dengan kinerja aset lain. Aset lain ini disebut sebagai underlying assets.
• Dalam pengertian yang lebih khusus, derivatif merupakan kontrak finansial
antara 2 (dua) atau lebih pihak-pihak guna memenuhi janji untuk membeli atau menjual assets/commodities yang dijadikan sebagai obyek yang diperdagangkan pada waktu dan harga yang merupakan kesepakatan bersama antara pihak penjual dan pihak pembeli. Adapun nilai di masa mendatang dari obyek yang diperdagangkan tersebut sangat dipengaruhi oleh instrumen induknya yang ada di spot market.
Derivatif di Indonesia
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•Pasar Uang•Pasar Modal•Pasar Komoditas
Produk
•Futures•OptionsCara •Hedging•Spekulatif•Arbitrage
Motif
• ProdusenJaminan bahan baku tetap tersedia sehingga kelangsungan produksi tetap terjaga
• Debitor & Kreditor valuta asingJaminan kurs valuta asing yang berlaku bersifat tetap (fixed rate).
• Negara Memberi kesempatan bagi banyak pihak untuk memiliki gudang
penyimpanan valuta asing, persediaan komoditi yang dapat menjamin stabilitas harga barang dan nilai mata uang secara nasional
Manfaat Derivatif
M. Samsul 2006, p. 17
Mekanisme Perdagangan Pasar Komoditas Berjangka
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BROKER BURSA BERJANGKA
KBI
BBJ-JFX
BAPPEBTIRegristrasi Posisi
KontrakPengawasan
Proses Transaksi
Dana NasabahDijaminKlirin
g dan
Pengawasan
BROKER BURSA BERJANGKA
KPEI-KSEI
BEI
BAPPEPAMRegristrasi Posisi
KontrakPengawasan
Proses Transaksi
Dana NasabahDijaminKlirin
g dan
Pengawasan
Mekanisme Perdagangan Pasar Modal Berjangka
Produk Pasar Modal Berjangka di BEI
• Kontrak Opsi Saham (KOS)
• Kontrak Berjangka Indeks Efek (KBIE)– LQ45 Futures– Mini LQ45 Futures– LQ45 Futures Periodik– Mini LQ45 Futures Periodik– Japan (JP) Futures
Produk Pasar Modal Berjangka di BEI
Produk Pasar Modal Berjangka di BEI
LQ45 Futures
Produk Pasar Modal Berjangka di BEI
Mini LQ45 Futures
Produk Pasar Modal Berjangka di BEI
LQ45 Futures Periodik
Hint and Block. “Fundamentals of Investment Management”. McGraw-Hill, 8th ed, 2006.
http://www.bbj-jfx.com/http://www.bappebti.go.id
http://www.idx.co.id
Referensi
