Like the pricing of other financial instruments, the pricing of stock index futures contracts will vary greatly under different conditions. But a basic principle remains unchanged, that is, due to the existence of market arbitrage activities, the real price of futures should be consistent with the theoretical price, at least in the trend.
In order to illustrate the pricing principle of stock index futures contracts, we assume that investors conduct stock index futures trading and stock spot trading at the same time, and assume that:
(1), investors first build a portfolio that is completely consistent with the stock market index (that is, the proportion of the portfolio, the "value" of the stock index and the market value of the stock portfolio are completely consistent);
(2) Investors can easily borrow money to invest in the financial market;
(3) Selling stock index futures contracts.
(4) hold the stock portfolio until the expiration date of the stock index futures contract, and then use all the dividends obtained for investment;
(5) Selling the stock portfolio immediately on the delivery date of the stock index futures contract;
(6) Cash settlement of stock index futures contracts;
(7) repay the original loan with the income from selling stocks and closing futures contracts.
Suppose 1999, 10/0/October 27th, a stock market index is 2,669.8 points, each point is worth $25, the face value of the index is $66,745, the stock index futures price is 2,696 points, and the average dividend yield is 3.5%. The price of stock index futures due in March 2000 is 2696 points, the last trading day of futures contract is March 19, 2000, the investment holding period is 143 days, and the interest rate of borrowed funds in the market is 6%. Suppose the index rises in five months, and in March 19 closes at 2900 points, that is, the index rises by 8.62%. At this time, according to our assumption, the value of the stock portfolio will also rise by the same amount, reaching $72,500.
According to the general principle of futures trading, investors will suffer losses when investing in index futures, because the market index rose from 2696 points to 2900 points, up 204 points, and lost 5 100 dollars.
However, investors also invested in the spot stock market, and the net income from the stock price increase was (72,500-66,745) = 5,755 dollars. During this period, the dividend income was about 9 15.2 USD, and the two incomes totaled 6,670.2 USD.
Let's look at its borrowing costs. At the interest rate of 6%, we borrowed USD 66,745, with a term of 65,438+043 days, and paid interest of about USD 65,438+0569, plus the loss of USD 565,438+000 invested in futures, making the two items total USD 6,669.