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The Mechanics of the Derivatives Markets.pdf
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The Mechanics of the Derivatives Markets
What They Are and How They Function
April 2011TABLE OF CONTENTS
1. INTRODUCTION TO DERIVATIVES ........... 4
1.1 Basics of derivatives ........................... 5
1.2 Types of Derivatives ........................... 6
1.3 History of Derivatives Markets .............. 6
1.4 The Markets ....................................... 7
1.5 Types of Market Participants in Derivatives Markets ..............8
1.5.1 Hedgers ...................................................................... 8
1.5.2 Speculators ................................................................. 9
1.5.3 Swap Dealers and Commodity Index Traders ...................................................................... 10
2. FORWARDS AND FUTURES ......................................... 12
2.1 Forward Contracts ................................................... 12
2.2 Futures .................................................................. 14
2.2.1 Contract Specifications .............................. 15
Box 1: Grade and Quality Specifications of WTI Contract ........................................................... 16
2.2.2 The Clearinghouse Margins .......................... 17
2.2.3 Settlement Price, Volume and Open Interest in Futures Markets ....... 19
2.2.4 Types of Orders ......................................................... 20
2.3 Hedging Using Futures Contracts ..................................... 20
2.4 Basis Risk ..................................................................... 22
3. SWAPS ........................................................................... 23
3.1 Mechanics of Swaps ........................................................ 26
4. OPTIONS ......................................................................... 28
4.1 Call Option ..................................................................... 29
4.2 Put Option ...................................................................... 32
4.3 “Moneyness” of Options ............................................... 33
4.4 Hedging Using Options ................................................. 34
5. REFERENCES ..................................................... 35
6. GLOSSARY OF THE DERIVATIVES MARKET TERMS .....36
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