Chapter 17 Stock Index Futures and Options

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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.

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.

Use of Stock Index Futures

Speculation

Hedging

Arbitraging

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.

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.

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

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

• 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

•Pasar Uang•Pasar Modal•Pasar Komoditas

Produk

•Futures•OptionsCara •Hedging•Spekulatif•Arbitrage

• 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

BROKER BURSA BERJANGKA

BBJ-JFX

BAPPEBTIRegristrasi Posisi

KontrakPengawasan

Proses Transaksi

Dana NasabahDijaminKlirin

Pengawasan

BROKER BURSA BERJANGKA

KPEI-KSEI

BAPPEPAMRegristrasi Posisi

KontrakPengawasan

Proses Transaksi

Dana NasabahDijaminKlirin

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

LQ45 Futures

Mini LQ45 Futures

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

Chapter 17 Stock Index Futures and Options

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