Kontrak berjangka: Perbedaan antara revisi
Konten dihapus Konten ditambahkan
memindahkan Kontrak berjangka ke Kontrak serah: pada sebuah artikel di situs resmi Bursa Berjangka Jakarta, ditemukan penggunaan istilah "kontrak serah" ( walaupun secara umum istilah yang digunakan di Indonesia masih menggunakan istilah "kontrak |
Tidak ada ringkasan suntingan |
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'''Kontrak berjangka''' atau juga dikenal dengan sebutan '''''futures contract''''' dalam dunia [[keuangan]] adalah merupakan suatu standarisasi kontrak yang diperdagangkan pada [[bursa berjangka]], untuk membeli ataupun menjual aset acuan dari instrumen keuangan pada suatu tanggal dimasa akan datang, dengan harga tertentu. Tanggal dimasa akan datang tersebut disebut dengan istilah '''tanggal penyerahan''' atau dikenal juga dengan istilah ''delivery date'' atau '''tanggal penyelesaian akhir''' ''(final settlement date)''.
Harga tertentu disebut dengan istilah '''harga kontrak berjangka''' ''(futures price)''.
Harga dari aset acuan pada saat tanggal penyerahan disebut dengan istilah '''harga penyelesaian''' (''settlement price'').
Suatu kontrak berjangka menimbulkan "kewajiban" kepada pemegang kontrak guna melaksanakan pembelian atau penjualan dimana berbeda dengan [[opsi (keuangan|kontrak opsi]] yang memberikan "hak" dan "bukan kewajiban". Pada kontrak berjangka ini, kedua belah pihak "wajib" untuk melaksanakan kewajiban masing-masing pada tanggal penyelesaian, dimana sipenjual akan menyerahkan [[komoditi]] yang dijadikan aset acuan kepada pembeli dan pembeli wajib membeli dengan harga penyelesaian yang telah disepakati. Atau apabila kontrak berjangka dilakukan dengan cara penyelesaian tunai ( tanpa penyerahan barang) maka pelaku perdagangan berjangka yang mengalami kerugian wajib untuk mentransfer sejumlah uang tunai kepada pelaku perdagangan yang memperoleh keuntungan.
Untuk bebas dari kewajiban pada tanggal penyelesaian akhir maka pemegang posisi pada kontrak berjangka harus melakukan perhitungan atas posisnya baik dengan melakukan penjualan posisi "long" ataupun melakukan pembelian kembali posisi "short" yang secara efektif akan menutup posisi kontrak berjangka serta kewajibannyanya berdasarkan kontrak tersebut.
''Kontrak berjangka'', atau disingkat "berjangka" atau ''futures'', adalah merupakan suatu instrumen [[derivatif]]. [[kliring |Lembaga kliring]] akan bertindak selaku mitra transaksi atas semua kontrak yang diperdagangkan, menentukan aturan [[marjin]] yang dibutuhkan , dll.
==Kontrak berjangka dan kontrak serah==
Kontrak berjangka dan [[kontrak serah]] keduanya adalah merupakan suatu kontrak yang memperjanjikan penyerahan suatu [[komoditi]] pada tanggal yang akan datang dengan harga yang disepakati terlebih dahulu, namun keduanya memiliki perbedaan pada beberapa hal antara lain :
* Kontrak serah hanya ditransaksikan pada waktu tanggal penyelesaian sedangkan kontrak berjangka nilainya setiap hari berubah atau mengalami penyesuaian (biasa dikenal dengan istilah ''"marked-to-market"'') nilai spot dengan suatu harga dan aset acuan yang sama pada saat tangggal penyerahan.
* Kontrak berjangka senantiasa diperdagangkan pada [[Bursa berjangka|bursa]], dimana kontrak serah diperdagangkan diluar bursa ( atau dikenal dengan istilah ''over-the-counter''), ataupun dapat berupa kontrak sederhana antara dua pihak.
* Kontrak berjangka adalah amat terstandarisasi dimana kontrak serah sifatnya khas (unik) sesuai dengan kesepakatan dan kebutuhan para pihak)
* Pada kasus penyerahan fisik maka pada kontrak berjangka dispesifikasi kepada siapa barang akan diserahkan yang ditetapkan oleh lembaga kliring berjangka ( lihat :[[bursa berjangka]].
==Standarisasi==
Kontrak berjangka memberi kepastian atas likuiditas pasar berjangka yang memiliki standarisasi tinggi, biasanya dengan spesifikasi :
* "Aset acuan" ( atau dikenal dengan istilah ''underlying asset'' atau instrumen. Bentuknya bisa berupa satuan barel pada [[minyak mentah]] hingga [[suku bunga]] jangka pendek.
* "Jenis penyelesaian", baik dengan cara penyesaian tunai maupun penyelesaian dengan cara penyerahan fisik aset acuan.
* "Nilai" dan unit dari aset acuan per kontrak. Ini dapat berupa nilai nosional [[obligasi]], jumlah yang pasti dalam satuan barel dari [[oli]], unit dari [[valuta asing]], nilai nosional dari [[deposito]] yang atasnya diperdagangkan [[suku bunga]] jangka pendek, dll.
* "Mata uang" yang dipergunakan dalam kontrak berjangka.
* "Peringkat" dari kemampuan penyerahan. Dalam obligasi, peringkat ini menunjukkan kemampuan pembayaran suatu obligasi. Dalam penyerahan [[komoditi]] secara fisik maka peringkat ini menunjukkan kwalitas dari aset acuan serta cara dan lokasi penyerahan.
* Tanggal dan bulan penyerahan .
* Tanggal transaksi perdagangan terakhir.
* Rincian lainnya seperti [[satuan komoditi]], fluktuasi harga minimum yang diperkenankan.
== Marjin ==
To minimize [[credit risk]] to the exchange, traders must post [[Margin (finance)|margin]] or a [[performance bond]], typically 5%-15% of the contract's value.
Margin requirements are waived or reduced in some cases for [[hedging|hedgers]] who have physical ownership of the covered commodity or [[spread trader]]s who have offsetting contracts balancing the position.
'''Initial margin''' is paid by both buyer and seller. It represents the loss on that contract, as determined by historical price changes, that is not likely to be exceeded on a usual day's trading.
A futures account is marked to market daily. If the margin drops below the margin maintenance requirement established by the exchange listing the futures, a margin call will be issued to bring the account back up to the required level.
'''Margin-equity ratio''' is a term used by [[speculator]]s, representing the amount of their trading capital that is being held as margin at any particular time. The low margin requirements of futures results in substantial leverage of the investment. However, the exchanges require a minimum amount that varies depending on the contract and the trader. The broker may set the requirement higher, but may not set it lower. A trader, of course, can set it above that, if he doesn't want to be subject to margin calls.
'''Return on margin''' (ROM) is often used to judge performance because it represents the gain or loss compared to the exchange’s perceived risk as reflected in required margin. ROM may be calculated (realised return) / (initial margin). The Annualized ROM is equal to (ROM+1)<sup>(year/trade_duration)</sup>-1. For example if a trader earns 10% on margin in two months, that would be about 77% annualizsed.
== Settlement ==
Settlement is the act of consummating the contract, and can be done in one of two ways, as specified per type of futures contract:
* '''[[Physical delivery]]''' - the amount specified of the underlying asset of the contract is delivered by the seller of the contract to the exchange, and by the exchange to the buyers of the contract. Physical delivery is common with commodities and bonds. In practice, it occurs only on a minority of contracts. Most are cancelled out by purchasing a covering position - that is, buying a contract to cancel out an earlier sale (covering a short), or selling a contract to liquidate an earlier purchase (covering a long). The Nymex crude futures contract uses this method of settlement upon expiration.
* '''Cash settlement''' - a cash payment is made based on the underlying [[reference rate]], such as a short term interest rate index such as [[Euribor]], or the closing value of a [[stock market index]]. A futures contract might also opt to settle against an index based on trade in a related spot market. Ice Brent futures use this method.
* '''Expiry''' is the time when the final prices of the future is determined. For many equity index and interest rate futures contracts (as well as for most equity options), this happens on the third Friday of certain trading month. On this day the ''t+1'' futures contract becomes the ''t'' forward contract. For example, for most [[Chicago Mercantile Exchange|CME]] and [[Chicago Board of Trade|CBOT]] contracts, at the expiry on December, the March futures become the nearest contract. This is an exciting time for arbitrage desks, as they will try to make rapid gains during the short period (normally 30 minutes) where the final prices are averaged from. At this moment the futures and the underlying assets are extremely liquid and any mispricing between an index and an underlying asset is quickly traded by arbitrageurs. At this moment also, the increase in volume is caused by traders rolling over positions to the next contract or, in the case of equity index futures, purchasing underlying components of those indexes to hedge against current index positions. On the expiry date, a European equity arbitrage trading desk in London or Frankfurt will see positions expire in as many as eight major markets almost every half an hour.
== Pricing ==
The situation where the price of a commodity for future delivery is higher than the spot price, or where a far future delivery price is higher than a nearer future delivery, is known as [[contango]]. The reverse, where the price of a commodity for future delivery is lower than the spot price, or where a far future delivery price is lower than a nearer future delivery, is known as [[backwardation]].
When the deliverable asset exists in plentiful supply, or may be freely created, then the price of a future is determined via [[arbitrage]] arguments. The forward price represents the expected future value of the underlying [[discount]]ed at the [[risk-free interest rate|risk free rate]]—as any deviation from the theoretical price will afford investors a riskless profit opportunity and should be arbitraged away; see [[Rational pricing#Futures|rational pricing of futures]].
Thus, for a simple, non-dividend paying asset, the value of the future/forward, ''F(t)'', will be found by compounding the present value ''S(t)'' at time ''t'' to maturity ''T'' by the rate of risk-free return ''r''.
:<math>F(t) = S(t)\times (1+r)^{(T-t)}</math>
or, with ''continuous compounding''
:<math>F(t) = S(t)e^{r(T-t)} \,</math>
This relationship may be modified for storage costs, dividends, dividend yields, and convenience yields.
In a perfect market the relationship between futures and spot prices depends only on the above variables; in practice there are various market imperfections (transaction costs, differential borrowing and lending rates, restrictions on short selling) that prevent complete arbitrage. Thus, the futures price in fact varies within arbitrage boundaries around the theoretical price.
The above relationship, therefore, is typical for stock index futures, treasury bond futures, and futures on physical commodities when they are in supply (e.g. on corn after the harvest).
However, when the deliverable commodity is not in plentiful supply or when it does not yet exist, for example on wheat before the harvest or on [[Eurodollar Futures]] or [[Federal funds rate]] futures (in which the supposed underlying instrument is to be created upon the delivery date), the futures price cannot be fixed by arbitrage. In this scenario there is only one force setting the price, which is simple supply and demand for the future asset, as expressed by supply and demand for the futures contract.
In a deep and liquid market, this supply and demand would be expected to balance out at a price which represents an unbiased expectation of the future price of the actual asset and so be given by the simple relationship
:<math>F(t) = E_t\left\{S(T)\right\}</math>.
In fact, this relationship will hold in a no-arbitrage setting when we take expectations with respect to the [[risk-neutral probability]]. In other words: a futures price is [[Martingale (probability theory)|martingale]] with respect to the risk-neutral probability.
With this pricing rule, a speculator is expected to break even when the futures market fairly prices the deliverable commodity.
In a shallow and illiquid market, or in a market in which large quantities of the deliverable asset have been deliberately withheld from market participants (an illegal action known as [[cornering the market]]), the market clearing price for the future may still represent the balance between supply and demand but the relationship between this price and the expected future price of the asset can break down.
== Futures contracts and exchanges==
There are many different kinds of futures contracts, reflecting the many different kinds of tradable assets of which they are [[derivative (finance)|derivative]]s. For information on futures markets in specific underlying [[commodity markets]], follow the links.
* [[Foreign exchange market]]
* [[Money market]]
* [[Bond market]]
* [[Equity derivative|Equity index market]]
* [[Soft Commodities market]]
Trading on [[commodity|commodities]] began in Japan in the 18th century with the trading of rice and silk, and similarly in Holland with tulip bulbs. Trading in the US began in the mid 19th century, when central grain markets were established and a marketplace was created for farmers to bring their commodities and sell them either for immediate delivery (also called spot or cash market) or for forward delivery. These forward contracts were private contracts between buyers and sellers and became the forerunner to today's exchange-traded futures contracts. Although contract trading began with traditional commodities such grains, meat and livestock, exchange trading has expanded to include metals, energy, currency and currency indexes, equities and equity indexes, government interest rates and private interest rates.
Contracts on financial instruments was introduced in the 1970s by the [[Chicago Mercantile Exchange]](CME) and these instruments became hugely successful and quickly overtook commodities futures in terms of trading volume and global accessibility to the markets. This innovation led to the introduction of many new futures exchanges worldwide, such as the [[London International Financial Futures and Options Exchange|London International Financial Futures Exchange]] in 1982 (now [[Euronext.liffe]]), Deutsche Terminbörse (now [[Eurex]]) and the [[Tokyo Commodity Exchange]] (TOCOM). Today, there are more than 75 futures and futures options exchanges worldwide trading to include:
* [[CME Group]] (formerly CBOT and CME) -- Currencies, Various Interest Rate derivatives (including US Bonds); Agricultural (Corn, Soybeans, Soy Products, Wheat, Pork, Cattle, Butter, Milk); Index (Dow Jones Industrial Average); Metals (Gold, Silver), Index (NASDAQ, S&P, etc)
* ICE Futures - the International Petroleum Exchange trades energy including [[crude oil]], heating oil, [[natural gas]] and unleaded gas and merged with IntercontinentalExchange(ICE)to form ICE Futures.
* [[Euronext.liffe]]
* [[Sydney Futures Exchange]]
* London Commodity Exchange - softs: grains and meats. Inactive market in [[Baltic Exchange]] shipping.
* [[Tokyo Commodity Exchange]] TOCOM
* [[London Metal Exchange]] - metals: [[copper]], [[aluminium]], [[lead]], [[zinc]], [[nickel]] and [[tin]].
* [[New York Board of Trade]] - softs: [[cocoa]], [[coffee]], [[cotton]], [[orange juice]], [[sugar]]
* [[New York Mercantile Exchange]] - energy and metals: [[crude oil]], [[gasoline]], [[heating oil]], [[natural gas]], [[coal]], [[propane]], [[gold]], [[silver]], [[platinum]], [[copper]], [[aluminum]] and [[palladium]]
* [[Futures exchange]]
* OneChicago Futures on many [[Single-stock futures]]
== Who trades futures? ==
Futures traders are traditionally placed in one of two groups: [[hedging|hedger]]s, who have an interest in the underlying commodity and are seeking to ''hedge out'' the risk of price changes; and [[speculator]]s, who seek to make a profit by predicting market moves and buying a commodity "on paper" for which they have no practical use.
Hedgers typically include producers and [[consumer]]s of a commodity.
For example, in traditional [[commodities market]]s, [[farmer]]s often sell futures contracts for the crops and livestock they produce to guarantee a certain price, making it easier for them to plan. Similarly, livestock producers often purchase futures to cover their feed costs, so that they can plan on a fixed cost for feed. In modern (financial) markets, "producers" of interest rate swaps or [[equity derivative]] products will use financial futures or equity index futures to reduce or remove the risk on the swap.
The social utility of futures markets is considered to be mainly in the transfer of risk, and increase liquidity between traders with different risk and time preferences, from a hedger to a speculator for example.
== Options on futures ==<!-- This section is linked from [[Put option]] -->
In many cases, ''[[Option_(finance)|options]]'' are traded on futures. A [[put option|put]] is the option to sell a futures contract, and a [[call option|call]] is the option to buy a futures contract. For both, the option [[strike price]] is the specified futures price at which the future is traded if the option is exercised. See the [[Black model]], which is the most popular method for pricing these option contracts.
== Futures Contract Regulations ==
All futures transactions in the [[United States]] are regulated by the [[Commodity Futures Trading Commission]] (CFTC), an [[Independent Agencies of the United States Government|independent agency]] of the [[United States Government]]. The Commission has the right to hand out [[fines]] and other punishments for an individual or company who breaks any rule. Although by [[law]] the commission regulates all transactions, each exchange can have its own rule, and under contract can fine companies for different things or extend the fine that the CFTC hands out.
The CFTC publishes weekly reports containing details of the open interest of market participants for each market-segment, which has more than 20 participants. These reports are released every Friday (including data from the previous Tuesday) and contain data on open interest split by reportable and non-reportable open interest as well as commercial and non-commercial open interest. This type of report is referred to as 'Commitments-Of-Traders'-Report, COT-Report or simply COTR.
== See also ==
*[[List of finance topics]]
*[[Agriculture]]
*[[Freight derivatives]]
*[[Seasonal spread trading]]
*[[Prediction market]]
*[[1256 Contract]]
*[[Paper trading]]
==References==
* http://www.investorwords.com/5579/forward_price.html
* http://www.riskglossary.com/link/convexity_bias.htm
* Keith Redhead, (31 Oct 1996), Financial Derivatives: An Introduction to Futures, Forwards, Options and Swaps, Prentice-Hall
* Abraham Lioui & Patrice Poncet, (March 30, 2005), Dynamic Asset Allocation with Forwards and Futures, Springer
*Valdez, Steven, . ''An Introduction To Global Financial Markets''. Macmillan Press Ltd. (ISBN 0-333-76447-1)
*Arditti, Fred D., 19nn. ''Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities''. Harvard Business School Press. ISBN 0-87584-560-6.
*[[http://eh.net/encyclopedia/article/Santos.futures Joseph Santos, A History of Futures Trading in the United States]]
== Futures Exchanges & Regulators ==
*[http://www.cbot.com/cbot/pub/page/0,3181,1059,00.html Chicago Board of Trade Glossary]
*[http://www.cme.com/glossary Chicago Mercantile Exchange Glossary]
*[http://www.cftc.gov/opa/glossary/opaglossary_a.htm Commodity Futures Trading Commission Glossary]
*[http://www.futuresindustry.org Futures Industry Association]
*[http://www.nfa.futures.org/aboutnfa/indexAbout.asp National Futures Association]
*[http://www.kcbt.com/trading_basics.html Kansas City Board of Trade]
== External links ==
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