What is the discount of futures index?
Low water, also known as discount, means that the futures price is lower than the spot price. Take Hang Seng Index Futures as an example. If the Hang Seng Index is higher than the futures index, this situation can be called low futures index or discount. Discount means a bearish trend. If discounted, it is impossible to hedge the current period, so don't predict the trend.
What is the futures premium?
Premium/premium high water is also called premium, which usually means that the futures price is higher than the spot price. Take the Hang Seng Index as an example. If the futures index is higher than the Hang Seng Index (the Hang Seng Index), it is called a high futures index. If the water level of futures index is high, it will generally be considered as a good indicator of the market outlook, because investors in the futures market are willing to buy futures index at a price higher than that in the spot market, indicating that investors have confidence in the market outlook.
We should know that the futures price should be equal to the spot price, and the spot price should be equal to the HSI on the settlement date, so the current price of the futures index is basically an estimate of the closing price of the HSI on the future maturity date. Therefore, if the futures index is low, it means that investors estimate that the Hang Seng Index will fall in the future and the market outlook will be weak.
What is the reason for the premium change of stock index futures?
The premium of stock index futures can be understood by combining its theoretical price. The theoretical price of stock index futures comes from the holding cost. The so-called holding cost refers to the net cost that investors must pay from holding spot assets to the expiration date of futures contracts, that is, financing cost MINUS dividends during the period.
F represents the theoretical price of stock index futures, S represents the market price of spot assets, R represents the expected annualized interest rate of financing, D represents the expected annualized expected rate of return from holding spot assets, and△ T represents the number of days before the contract expires. In the case of simple interest, the theoretical price of stock index futures can be expressed as:
Futures index premium = futures index price-spot price = (futures index market price-futures index theoretical price)+(futures index theoretical price-spot price). Among them, the former part comes from investors' overestimation or underestimation of stock index futures prices, which can be called value basis difference, mainly caused by market behavior and market sentiment; The latter part can be called theoretical basis, which mainly comes from holding cost (regardless of transaction cost, etc. ), and the main influencing factors are financing cost, dividend during the period and time to maturity.