What are the risks of stock index futures?
The risk of stock index futures market is large, involving a wide range, with the characteristics of amplification, complexity and prevention. The risk types of stock index futures are complex, which can be divided into uncontrollable risk and controllable risk from the perspective of whether the risk is controllable or not. From the perspective of trading links, it can be divided into agency risk, liquidity risk and forced liquidation risk; Risks can be divided into transaction risk, brokerage risk, investor risk and government risk. The financial risks faced by investors can be divided into market risk, credit risk, liquidity risk, operational risk and legal risk. In addition to the general risks of financial derivatives, stock index futures also have some specific risks due to the characteristics of the subject matter itself and the particularity in the contract design process. 1. basis risk basis is the difference between the spot price of a commodity in a specific place and the price of a specific futures contract of the same commodity. Basis = spot price-futures price. The change of basis is subject to the cost of holding positions. Finally, due to the convergence of spot price and futures price, the basis falls to zero in the delivery month of futures contract. The decisive factor of basis difference is mainly the relationship between supply and demand of commodities in the market. The foundation of primary products, especially agricultural products, is largely influenced by seasonal factors besides general supply and demand factors. Basis is an important index to measure the relationship between futures price and spot price. Basis is the basis of successful hedging. The effect of hedging mainly depends on the change of basis; The basis is to find the scale of price; Basis is very important for arbitrage trading of futures and spot. Basis risk is a special risk of stock index futures relative to other financial derivatives (options, swaps, etc.). ). Basis essentially reflects the time value of money, and should generally remain positive within a certain range (that is, the forward price is greater than the spot price, such as S&: P500), which is generally 2 to 3 points. However, in the huge market fluctuation, there may also be abnormal phenomena of basis inversion or even long-term inversion. The abnormal change of basis shows that the price information in stock index futures trading has been completely distorted, which will produce huge trading risks. 2. Risks caused by contract variety differences The risks caused by contract variety differences refer to similar contract varieties, such as Nikkei 225 stock index futures and Tokyo stock index futures, whose prices have changed differently under the influence of the same factors. There are two situations: 1) the price changes in the opposite direction. 2) The range of price changes is different. The price difference of similar contract varieties under the same factors also constitutes the risk of contract variety difference. 3. Subject matter risk In stock index futures trading, the particularity of subject matter design is the reason why its specific risk cannot be completely locked. From the technical point of view of hedging, the hedgers of commodity futures, expected annualized interest rate futures and foreign exchange futures can completely lock in risks by establishing the consistency in the number of spot and futures contracts and the opposition in the trading direction in a certain period of time. However, due to the particularity of the subject matter, the consistency between spot and futures contracts is only of theoretical significance, and it is not practical. Due to the comprehensiveness in the design of stock index and the consideration of weight factors in the design, when the stock variety and weight are completely consistent with the index in the stock spot portfolio, the risk can be completely locked, and the feasibility in actual operation is almost zero. Therefore, the particularity of the subject matter of stock index futures makes it impossible to completely hedge between futures and spot, so the risk will always exist. 4. delivery system risk stock index futures are liquidated by cash delivery. Compared with other financial derivatives settled by physical delivery, there is greater delivery system risk. For example, in the expected annualized interest rate futures trading, the spot bonds that meet the specifications can meet some delivery requirements anyway. Stock index futures can only be delivered in 100% cash and cannot be closed with the corresponding stocks.