02先物取引 / Futures Transactions

先物取引とは? / What Are Futures Transactions

先物取引の"先"という日本語の漢字は、ある時刻に対して用いられる際、大変わかりづらいですね。例えば「1年先に生まれた」ここでは時間軸は"前の過去"。「友人と次に会うのは1年先」ここでは"後の未来"となり全く対称にある"過去のこと"と"未来のこと"どっちにも使っています。ちなみに中国語の"先"が持つ意味は"過去のこと"のみを意味するので、先物と呼ばず、将来的に決められている約束の期日の貨物を取引対象としているので期貨と呼ばれています。さて、先物のことを英語ではFutures/未来と呼ぶことからわかるように取引対象は"未来の物"の方で、結局、先物取引はある商品(以下、原商品)を"予め"決めた未来の期日に、今、"予め"決めた価格で売買/取引する契約を結ぶ取引なのです。ただ、日本の先物をいう呼称は"予め"を意味する日本語の"先に"という時刻に注目して命名したかもしれませんが…いずれにせよ時刻が多いに関係するのが先物です。

反対売買 / Offsetting (equal and opposite) trade

契約の買方は、 Expiration date/期限日,期日に売り手からContract price/契約価格でUnderlying commodity/原資産を購入する義務を負い、逆に、契約の売方は、期日に契約価格で原資産を買い手に売却する義務があります。ただし、いずれの場合も、契約の決済を期日まで待つ必要はなく、オフセット(反対売買)取引/Offsetting (equal and opposite) tradeを開始することにより、有効期限前であればいつでも先物契約をClose/解消することができる。具体的には、買方は買建てをResells a contract/転売し、売り手は売建てをBuys back a contract/買い戻します。

差金と受渡決済 / Net cash & Delivery settlement

先物取引は、原資産とMethod of settlement/決済方法によって分類される。
まず、先物取引にはShare price index/株価指数のようなAbstract/抽象的な数値を原資産を取引するものがあり、代表的な例としては、Nikkei Stock Average Futures/日経平均株価先物、Tokyo Stock Price Index (TOPIX) Futures/東証株価指数(TOPIX)先物、JPX-Nikkei Index 400 Futures/JPX日経インデックス400先物などが株価指数先物取引の対象商品の代表的なものです。これは、長期国債先物と違って期限日に受渡しのできる現物がなく、株式投資のように買った株の代金をその都度支払う必要はありません。したがって、抽象的な数値を原資産の先物取引は期限日の最終決済においても、期限日前に行われる反対売買と同様なNet cash settlement/差金決済,ネットキャッシュ決済に頼らざる得ないことになります。また、株価指数先物取引では、Final trading day/最終取引日までに決済が行われなかった場合、Next day (the expiration date)/翌日(期限日)にSpecial quotation (SQ)/特別清算指数で自動的に相殺取引が行われ(取引最終日と期限日とはズレがあります)、取引者の損益が確定することになります。
次に、JGB/長期日本国債先物などの先物取引の期限日までに差金決済されなかった契約は、Osaka Exchange/大阪取引所が受渡適格銘柄として指定した銘柄とその代金を交換することで決済され、特にこの決済方法をDelivery settlement/受渡決済と決済されるものを受渡債券と呼ばれています。決定権のある売方は受け渡す債券を通常の場合、複数選択することができますが、それぞれ種類によって価格が異なるため、両者の価値をなんらかの基準によって同一になるように調整を行う必要があります。このための交換比率をConversion factors:CFを予め定めています。具体的には、通常、受渡債券の選択は、決定権のある売り手に有利であることから、Least expensive bond/最も安価な債券を選択する。ここで言う最も安価な債券とは、「Futures price × Conversion factor – Spot price/先物価格 × (受渡銘柄の)交換比率 – (受渡銘柄の)現物市場価格」の式で算出される金額が最も小さい債券を指し、先物取引の買い手が支払うべき受渡し価格は、この計算式で算出されます。
また、貴金属や農産物を原資産とする商品先物取引(Commodity-related market derivatives transactions/商品関連市場デリバティブ取引)の一部の銘柄では、期限日に受渡し決済を選択することができますが、実際の取引ではこの決済方法を選択する投資家は少なく、ほとんどの取引が差金決済で成立しています。また、受渡決済を選択できない銘柄については、最終決済価格を基準に差金決済が行われています。

投資家は、締結した契約の履行を確保するために、先物・オプション市場で発生しうるリスク(損失見込額)を計算し、担保として提供される現金や有価証券である「証拠金」(商品関連市場デリバティブ取引の場合、倉庫証券など商品を預かる倉庫会社が発行する証書や手形もその担保として使用できる)を預けることで先物取引を行うことができる。
先物取引には、以下のような特徴がある。

オフセット(対等・反対)取引はいつでも実行できる An Offsetting (Equal and Opposite) Trade Can Be Executed at Any Time

対象商品の価格が上昇すれば、先物を買った人(「ロング」)は儲かり、先物を売った人(「ショート」)は損をする。価格が下がれば、ロングの人は損をし、ショートの人は儲かる。いずれの場合も、先物契約者が想定した方向と反対の方向に市場が動いた場合、相殺取引を行い、元の契約を決済することで損失を限定することができます。先物取引の決済方法 先物取引の決済方法には、次の2つがある。 (1) 相殺取引 最終取引日までに反対売買を行うことで、先物取引を決済することができる。すなわち、買いの場合は転売で、売りの場合は買戻しで決済する。(2) 決済 [対象商品が受渡可能な場合] 先物取引の買い手は売り手に契約金額を支払い、売り手は買い手に商品(商品関連市場デリバティブ取引の場合、倉庫証券など商品に関して発行された証券または手形を含む)を引き渡す(受渡決済)。[対象商品が引渡せない場合】契約価格と最終決済価格との差額を現金で決済する。買主:契約価格>最終決済価格。買主:約定代金<最終決済代金。

信用取引との差異 / Difference from Margin Trading

A comparison between futures transactions and the margin trading that take place in the share market shows that there are similarities in that both require a margin and use a mark-tomarket system. Nevertheless their basic nature is completely different in the following respects:

(i) There Is No Borrowing and Lending Relationship in Futures Transactions

In margin trading, either a securities company or securities finance company will lend money to a share buyer or lend shares to a seller, and these will be used for trading in the spot share market. By contrast, in futures transactions there is no borrowing or lending either by buyers or sellers.

(ii) In Futures Transactions, Futures Prices Are Determined Independently from Spot Transactions

In margin trading, the funds or shares which have been borrowed or lent as discussed above are then used to make trades in the spot market in exactly the same manner as any other spot transaction, and the price is the same whether trading on a margin or in cash.
On the other hand, futures are traded in the futures market, which is distinct from the spot market. Arbitrage occurs between the two markets because different prices are set in each market. Moreover, with futures transactions, the price for the same underlying product will differ depending on the contract month (delivery month). This means transactions of the same underlying product are treated as transactions of different products if their contract month differs.
As described above, margin trades take place on the spot market, no differently from regular spot transactions. Hence, margin trading, like forward transactions, are included in the broader definition of spot trading.

先物の価格形成 / Futures Price Formation

先物取引の利用方法 / How to Use Futures Transactions

The critical significance of futures transactions is that they transfer the risk of price fluctuations. People who wish to avoid the risk of fluctuations in the prices of spot commodities (the danger of unforeseen price fluctuations) can sell or buy futures on those products as a hedge against this type of risk. When people who hold a commodity wish to avoid the risk of fall in the price of the commodity, they sell commodity futures for the same amount as that of the commodity that they hold. On the other hand, if people who plan to purchase a commodity in the future wish to avoid the risk of rise in the price of the commodity before the purchase, they will buy commodity futures for the same amount as that of the commodity to be purchased. The investor would use bond futures to avoid risk if his/her portfolio consisted of bonds. These types of trading are known as hedge trading, and a person who engages in hedge trading is known as a hedger. The reason that futures can be used as a hedging technique for spot commodities is that, as described above, there is a strong correlation in movements between the futures and spot price (see “2-2 Futures Price Formation” in this Chapter for details). If it is possible to use futures transactions to hedge the risk of price fluctuation in the spot market, this would probably make more people willing to take positions in the spot market. This would apply both to investors as well as to dealers who handle trading in shares and bonds. Thus, the existence of a futures market can be considered to increase the depth of the spot market for the underlying products, thereby raising its liquidity. In addition to hedgers, other participants in the futures market include those investors who accept the risk of simply buying and selling futures as they look for high returns on their money, along with those participants who are out to profit from price differentials either between the futures and spot markets or between one futures and another. The first of these two types of participants is called a speculator, one who is involved in speculative trading. The other type of participant is called an arbitrager, and the trading is called arbitrage trading. The function of transferring risks, which is inherent in futures transactions, is the result of trading on a market in which hedgers who hold risks in mutually offsetting directions transfer a portion of that risk to each other, and where hedgers transfer that risk to speculators. Thus, the futures market provides a method for hedgers to avoid risk, opportunities for speculators to obtain risk profits, and opportunities for arbitragers to obtain arbitrage profits.

(1) Hedging

edging means taking a position in the futures market that is opposite to the one taken in the spot market. This is an attempt to avoid the risk of price fluctuation in the spot market. There are two hedge positions: the sell hedge and the buy hedge. A) Sell Hedge If an investor anticipates that the actual assets he or she holds will fall in price, that person can take a sell (short) position in the futures market now. If share market prices fall as anticipated, that person can then buy back the futures and make a profit, thereby offsetting the loss suffered in the spot share market. B) Buy Hedge If an investor anticipates that the actual assets he or she plans to buy in the future will rise in price, that person can take a buy (long) position in the futures market now. If market prices of the assets rise as anticipated, that person can then sell the futures and make a profit, and use this money to cover the rise in prices between the time the futures were purchased and the time they were sold to buy the actual assets. JGB futures transactions can be used to prevent losses that result when the bond market falls when one already holds the underlying bonds, or to prevent opportunity losses when the bond market rises before you can make a purchase when you wish to acquire actual government bonds in the future. However, because the underlying products in a mid-term (5-year) JGB futures transaction, long-term (10-year) JGB futures transaction, and super-long-term (20-year) JGB futures transaction are all standardized products, in order to hedge the underlying individual JGB appropriately, one must learn the required techniques. Moreover, the bond futures that are currently traded in Japan are the 5-year JGBs, 10-year JGBs and 20-year JGBs, and there is no futures transaction on any other bonds. However, bonds are less idiosyncratic than shares, so it is possible to a great degree to hedge other bonds using JGB futures transactions. If an investor owns one or more actual shares and wishes to avoid a loss from a fall in share market prices, or if an investor intends to buy one or more shares in the future and wishes to avoid losing a share investment opportunity caused by a rise in share market prices, he or she might hedge using index futures. However, TOPIX futures are based on the float-adjusted market capitalization of all domestic common share issues listed on the First Section of the Tokyo Stock Exchange market, while Nikkei 225 futures are a simple average of 225 shares listed on the First Section of the Tokyo Stock Exchange. For these reasons, the price fluctuations of the underlying shares of these futures will normally not be the same as the price fluctuations of one or more of the actual shares an investor would want to hedge. Consequently, when index futures are used to hedge one or more actual shares, it is necessary to first find the sensitivity between the two. More specifically, regression analysis can be used to find market models based on the Capital Asset Pricing Model (CAPM). Using this technique, we can derive the following linear regression equation: R = α + βr Here ‘R’ is the investment earnings ratio on a single actual share or multiple actual shares, while ‘r’ is the investment earnings ratio for the same portfolio as the underlying product of the futures index. The β (beta) value in the formula above indicates how sensitively the earnings of the portfolio react to the behavior of the whole market. If the β value is 1, this means that the price of portfolio moved in the same manner as the market average; if the value is larger than 1, this means greater price movements, and if it is less than 1, smaller movements. In other words, this value represents the percentage by which the price of the individual or multiple actual shares will change when there is a 1% change in the value of the product underlying the futures index.

(2) Arbitrage Trading

Arbitrage trading is a type of trading that aims to make a profit without taking risk when there is a gap between the spot prices of two financial products (trades) that will have an equal value at a certain point in the future, by selling the more expensive product and buying the less expensive. The absence of arbitration means there is no arbitration opportunity (in the strict sense) in the market. Arbitrage trading in a strict or academic sense mentioned above is a trading strategy for making a profit with certainty even if the prices of the two products (or trades) are more expensive (or less expensive) than a fair price. A general approach of arbitrage trading is, based on the concept of relative index arbitration, to sell the more expensive and buy the less expensive product when there is a price gap between the relative indices related to the prices of the financial products (or trades), and then conduct an offsetting transaction when the price gap no longer exists, thereby making a profit. The section below explains arbitrage trading conducted between the share index futures and the underlying index (referred to as the “underlying product”) which have price movements that show a close correlation. In order to determine which of the two prices, the futures price and the spot price, is more expensive, it is necessary to first assume a theoretical futures price (relative index). As explained in “2-2 Futures Price Formation”, the theoretical price can be calculated by the following formula. Theoretical futures price This formula can be simplified as follows. Theoretical futures price = Spot price + Interest income for the period until the expiration date – Dividend income for the period until the expiration date ・ The future price represents a value (at a certain point) in the future, expressed as: (i) future value = present value (spot price) + earnings ratio (yield). ・ Dividends receivable when holding the underlying share cannot be received in arbitrage trading, therefore: (ii) future value = present value (spot price) – dividend income. ・ According to (i) + (ii): future value (futures price) = present value (spot price) + interest income – dividend income. Futures transactions are margin transactions (which require fewer funds than transactions of the underlying shares). Investors consider gaining interest income by investing the remaining funds they possess in other risk-free assets during the period until the date of settlement (expiration date). Therefore, interest income is added to the present price. However, investors cannot receive dividends that are receivable when holding the underlying shares. Therefore, dividend income is deducted from the spot price. As the expiration date approaches, the cost of carry until the expiration date decreases (comes close to zero). Accordingly, the gap between the theoretical futures price and the spot price becomes smaller and these prices coincide with each other at the special quotation (SQ) on the expiration date. Now, in what conditions is the futures price more expensive or less expensive than the spot price? In actual futures transactions, the futures price changes depending on the supply and demand balance and exceeds (becomes more expensive than) or falls below (becomes less expensive than) the theoretical price. This brings about an opportunity for arbitrage trading. For example, if the actual futures price exceeds the theoretical price, investors sell the futures (more expensive) and buy the underlying product (less expensive) (buy arbitrage). On the expiration date, the futures price and the spot price become equal. If investors, taking this opportunity, conduct an offsetting transaction to buy back the futures position and unwind the spot position, they can earn a profit equivalent to the initial price gap. This offsetting transaction is referred to as “arbitrage unwinding sale.” On the other hand, if the actual futures price falls below the theoretical price, investors buy the futures and sell the underlying product (sell arbitrage), and then they conduct an offsetting transaction when the futures price becomes higher than the theoretical price even before the expiration date, aiming to fix the profit from the transaction. Regarding the actual balance of arbitrage trading, since it is rare for the actual futures price to be constantly below the theoretical futures price, buying arbitrage forms an overwhelmingly majority of arbitrage trading. Buy Arbitrage: If the futures are trading at a premium (futures price > theoretical futures price): sell the futures and buy the underlying product. Sell Arbitrage: If the futures are trading at a discount (futures price < theoretical futures price): buy the futures and sell the underlying product. Furthermore, since arbitrage trading allows investors to reap returns (profits) with very little risk, there are many traders who are watching for the opportunity to make such trades. Timing is important to get the chance to make money. In markets that have inadequate liquidity, performing such trades will have an impact that could cause the markets to move in disadvantageous directions, making it impossible to create the desired arbitrage position. Similarly, when liquidating an arbitrage position, the impact can also cause prices to move in an unfavorable direction, decreasing the level of profit anticipated. In other words, if the market has insufficient depth of liquidity, large numbers of such trades cannot take place. When investors are extremely bearish and make fewer buy orders for the spot trading of shares, conducting an arbitrage unwinding sale could result in accelerating the decline in share prices, and in this respect, the arbitrage buying balance (the balance of shares bought through arbitrage trading) is an important indicator for assessing the supply and demand situation in the market. Furthermore, because such trades normalize the price relationship between futures and the underlying commodities, they play an important role in creating appropriate prices in these markets. In other words, the arbitrager is indispensable if the hedger is going to use futures to make the appropriate hedges. A typical example of arbitrage trading is spread trading. This trading involves taking advantage of the price gap (spread) between two futures. When the spread reaches a certain level or more, the investor will simultaneously sell the higher-priced contract and buy the lower-priced contract. Later, when the spread returns to a certain level, the investor will close out each contract and earn a profit. There are two types of spread trading: calendar spread trading (inter-month spreads) and intermarket spread trading. (i) Calendar Spread Trading (Inter-Month Spread Trading) A calendar spread trading is a transaction that makes use of the fluctuation in the range of a certain level that occurs in the difference in prices between futures with two different contract months (a nearby and distant contract month) of the same underlying product. The investor will take positions when the spread increases or decreases, and then close out these positions when the spread returns to the anticipated level, thereby taking a profit. In the case of bond futures transactions, if the gap (spread) between the ‘nearby contract month price and distant contract month price’ of an underlying product is anticipated to increase, a trader can buy the nearby contract and sell the distant contract. This is called buying the calendar spread. Conversely, if a trader anticipates that the gap between the ‘nearby contract month price and distant contract month price’ will diminish, that person can sell the nearby contract and buy the distant contract. This is called selling the calendar spread: Buying the calendar spread = Buying the nearby month + Selling the distant month Selling the calendar spread = Selling the nearby month + Buying the distant month In the case of index futures transactions: Buying the calendar spread = Buying the distant month + Selling the nearby month Selling the calendar spread = Selling the distant month + Buying the nearby month (ii) Intermarket Spread Trading An intermarket spread trading is a transaction that makes use of the difference in prices between different futures products (such as TOPIX Futures and Nikkei 225 Futures). In this case as well, the assumption is that a deviant price differential will ultimately approach a certain level. Nevertheless, care is necessary because the prices of the different contracts are determined differently, and consequently the spread may not shrink.

(3) Speculative Trading

This is a speculative type of trading that looks only at the profit that can be obtained through changes in the price of the futures. In this type of trading, one purchases the futures if one thinks that the price will go up, and sells the futures if one thinks the price will go down. While the same types of speculative trading occur in spot markets as well, the distinction in futures transactions is the ability to make large trades with only a small margin deposit. This is known as the leverage effect. The leverage effect makes speculative trading in futures higher risk and higher return than speculative trading in the spot market. There are speculators in both types of markets, adding high levels of liquidity to both. Speculators play the role of the risk takers by accepting the risk transferred to them by the hedgers. This makes them an indispensable element of the futures market. One benefit of futures transactions is that it allows a large trade to take place with minimal funds (margin), thus providing trading opportunities to speculators who would like to make profit by aggressively taking advantage of price fluctuations. There are two types of speculative trades, those that follow the trend and those that are contrary to the trend, or contrarian. (i) Trend-Following Approach The trend-following approach is an approach to trading in which one buys when the market is rising, on the expectation that the market will continue to rise, or when one sells when the market is falling, on the expectation that the market will continue to fall. (ii) Contrarian Approach The contrarian approach is an approach to investing in which one sells when the market is rising because one believes that the market is sure to fall, or buys when the market is falling because one believes that the market will begin to rise again. The contrarian approach is also related to the investment approach in which one buys because one feels that the market is undervalued and sure to rise, or one sells because one feels that the market is overvalued, and is sure to fall. (iii) Fundamental Analysis and Technical Analysis Engaging in speculative trading based entirely on intuition is quite risky. Fundamental analysis is the process of determining the direction the market will take by analyzing things such as economic trends, financial and government policies, international balance of payments, price trends, and supply and demand trends of commodities. In contrast, technical analysis analyzes past market data, such as prices and volume to discern the direction the market will take in the future.

(4) Adjusting the Expiration Year of Portfolios

When the manager of a bonds portfolio expects the market to fall temporarily, the manager might first liquidate the long-term bonds in the portfolio and replace them with short-term bonds to shorten the portfolio maturation year. Then, after the market has fallen, he/she would switch back to long-term bonds after liquidating the short-term bonds and return the year of expiration of the portfolio to its previous length. However, it should be noted that the same results can be obtained without moving the actuals in the portfolio by first assuming a short position on Long-term (10-year) JGB Futures and then buying back the Long-term (10-year) JGB Futures after the market has fallen. Actually, the effect of shorting the Long-term (10-year) JGB Futures while holding on to long-term bonds is, in theory, the same as liquidating the long-term bonds and replacing them with short-term bonds. However, shorting the Long-term (10-year) JGB Futures while holding onto the long-term bonds is not a silver bullet―it does not create a situation where it is possible to enjoy the yield of the long-term bonds while at the same time hedging against a devaluation of the long-term bonds. Long-term (10-year) JGB Futures are extremely marketable, and generally buying and selling Long-term (10-year) JGB Futures has the benefit of reducing the transaction cost below the transaction costs for buying and selling the large amounts of JGBs held in the portfolio: Long-term bonds held + Short position in Long-term (10-year) JGB Futures = Short-term bonds held At the same time, the effect of having a long position in Long-term (10-year) JGB Futures while holding short-term bonds is theoretically equivalent to liquidating the short-term bonds and purchasing long-term bonds: Short-term bonds held + Long position in Long-term (10-year) JGB Futures = Long-term bonds held