美元兌人民幣期貨

reference: 台灣期貨交易所

http://www.taifex.com.tw/chinese/9/9_7.asp#q1

http://www.taifex.com.tw/chinese/5/FutSetPrice.asp

貨幣期貨契約 currency futures contract載明某一貨幣在某一特定交割日,以某一特定標準數量進行外匯買賣的契約。所謂標準化,就是將交易標的物之品質、數量、交割日期與地點等要件在契約中訂清楚,以增加交易的方便性與時效性。

1.名詞解釋:

a. 契約規模:就是契約值多少錢,下表為交易人部位限制,單位為契約數。選擇權的槓桿較小,所以限制也較小,以期交所為例,可交易部位為期貨契約數的兩倍。

b.契約到期交割月份:交易人可於契約到期前作反向的買賣,沖銷原來的履約義務(買方交錢、賣方交貨),就不須再交錢或交貨。

c.每日結算價:收盤前1分鐘內所有交易之成交量加權平均價。若當日收盤前一分鐘內無成交價時,以收盤時未成交之買、賣報價中,申報買價最高者與申報賣價最低者之平均價位為當日結算價。無申報買價時,以申報賣價最低者為當日結算價;無申報賣價時,則以申報買價最高者為當日結算價。當遠月份期貨契約無申報買價及申報賣價時,則取前營業日現月份期貨契約之結算價與該期貨契約之結算價間差價為計算基礎,而當日現月份期貨契約之結算價加此差價之所得價格為該期貨契約當日結算價。倘前述之計算方式皆無法決定當日結算價,或其結算價顯不合理時,由期交所決定之。

d.漲跌幅限制:採前一一般交易時段每日結算價±3%、±5%、±7%三階段漲跌幅度限制,指期貨合約在一個交易日中的成交價格不能高於或低於以該合約上一交易日結算價為基準的某一漲跌幅度,超過該範圍的報價將視為無效,不能成交。分階段是指,不同時段依情勢判定逐漸放寬漲跌幅限制。

reference:https://read01.com/KQNnRO.html

e.報價方式:以此為例,既然交易標的是美元兌人民幣匯率,那就是交易人用一美元換多少人民幣。下表為4/3匯率及期貨價格。最後成交價6.3147>匯率6.2915 

f.最小升降單位:以此為例,人民幣0.0001元/美元(人民幣10元),指買美元兌人民幣期貨上漲0.0001點,賺10元人民幣。

g.最後交易日:最後交易日為各該契約交割月份第三個星期三,也就是最後結算日。

h.最後結算日:同上。要注意的是,結算日為每月第三個星期三,而非第三週的星期三。舉例:上個月(三月),三月一日在星期四,所以最後結算日,也就是第三個星期三應為3/21而非3/14。

i.最後結算價:結算日當天香港財資市場公會上午11:30公布美元兌人民幣(香港)即期匯率。

例如:上個月的最後交易日3/21,結算價為6.329。

j.交割方式:期貨交易僅須支付契約價值一定百分比之保證金即可。如果保證金是契約價值的百分之十,等於十塊錢的商品拿一塊錢便可以交易(原價值*槓桿%)。因此,期貨交易具有以小搏大的高槓桿特性。

k.部位限制:請見a.之說明。

l.保證金:高槓桿可放大獲利,但也可能損失倍增。為控制風險,規定每天要計算保證金是否足夠(每日結算)。如果發現保證金不足,交易人必須在期貨商規定時間,補足保證金,否則期貨商有權結清交易人的部位。保證金分為「原始保證金」與「維持保證金」,交易前必須繳交原始保證金至指定的銀行帳戶,如果保證金低於維持保證金,則交易人必須補足保證金至原始保證金水準。

另外,交易人因人民幣保證金追繳及虧損,應繳交之保證金得依其與期貨商之約定,以新臺幣或其他本公司公告之外幣收付,並由期貨商代為結匯為之。簡言之,就是雖然買的是外匯期貨,但補足保證金時,可以用台幣或其他外幣,請期貨商幫你結匯。

臺灣期貨交易所股份有限公司結算保證金收取方式及標準:

※本公司公告之保證金收取金額按各商品計價幣別訂定

「第四條之七    匯率類期貨契約結算保證金金額為期貨價格乘以契約規模乘以風險價格係數。

前項所稱風險價格係數,係參考一段期間內期貨契約之價格變動幅度及其他可能因素,估算至少可涵蓋一日價格變動幅度百分之九十九信賴區間之值。

第一項收取標準,人民幣報價期貨契約以百元為整數,百元以下部分無條件進位至百元;美元報價期貨契約以拾元為整數,拾元以下部分無條件進位至拾元;日圓報價期貨契約以千元為整數,千元以下部分無條件進位至千元。」

From the line chart we could see that the settlement price and the exchange rate have positive correlation. The disparity between two indexes include procedure fee and other procession cost.

original file:

futures_exrate3

 

 

 

 

 

 

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