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1 SPAN

2 2 3

3 TGF 4 10 ( ) (3.75 ) / 3,160 1 tick 3, / *100 = 50 5

4 ( ) 6 USD= (1 = g) (1 =3.75g) USD= ( ) TWD= ( ) 7

9 999.9 USD= 31.1035 3.75 0.9999 0.995 ( 0.

5 =( ) 32.5 = 3,150.1 ( ) 3,150 / =3,150 / 100 =315, :45~ 1: % 2 ( 3 ) 9

6 Bank of Nova Scotia Barclays Bank Plc Deutsche Bank AG HSBC Bank USA Société Générale (AM Fixing) 10:30 (PM Fixing) 15:00 11

7 (99.99%) GOLDLNAM Index GOLDLNPM Index XAUFIX= 12 13

8 14 ( ) 5,000 2,000 15

9 ( ) CBOE 16 ( ) 17

10 ( ) ( ) 8:45 ~ 1:45 8:45 ~ 1: :30 19

11 ( ) ( ) 22% 60% 20 ( ) ( ) 100% 80% 21

12 2, $2 $10 $1 5 $10 $50 $2 $50 $100 $5 $100 $200 $10 $200 $500 $20 8:45~ 1:45 $500 $1,000 $50 $1,000 $100 8:45 ~ 1:30 22 ( ) ,000 1, (2,000 ) 23

$1,000 $100 8:45 ~ 1:30 22 ( ) 5 5 15 15 50 50

13 ( ) ( ) 5,000 3,750 2,500 1, ,000 11,250 7,500 3,750 1,250 37,500 28,100 18,750 9,350 3,100 25

14 ( ) 26 27

15 ( ) AAO $ % 2% 120% AAA $6000 AAO ( ) % 60.0 ABO ABA $ $ ABO

16 SPAN 30 31

17 (CFTC) (1) ( ) ( ) 33

18 (2) 4 ( ) ( ) 3 34 (3) (1) = (2) = 35

19 (4) 4 (1) 1 (2) 2 (3) 3 ( ) (4) (1) 1 37

20 (2) 2 38 (3) 3 39

21 (4)

22 42 MSCI MSCI (MSF) % 43

23 74,000 86, ,000 74,000 77, , % -9.91% 54,000 63,000 81,000 54,000 56,000 73, % -9.88% 63,000 73,000 95,000 63,000 66, % -9.47% 18,500 21,500 27,750 18,500 19,250 25, % -9.91% 16,000 19,000 (A ) 24,000 16,000 17,000 22, % -8.33% MSCI 1,300 1,410 1,630 1,300 1,300 1, % 0.00% 25,000 29,000 38,000 25,000 26,000 34, % % 45,000 52,000 68,000 45,000 47,000 61, % % 44 45

24 Covered Call 46 47

25 SMART 48 (1) 50 5% 10% 30 50% ( ) 20% 10% 49

26 (2) Deutsche Bank AG( ) BNP Paribas AUD( ) 2 50 / (3) 20% 10%

27 (1) ( ) ( ) ( ) ( 10% ) 52 (2) ( ) 53

28 (3) 2 54 (1) 5% 95% 10% 90 30% 70% 70% 55

29 (2) (1) SPAN 50% SPAN SPAN 1 (SPAN ) 50% 2 57

30 (3) , ,000 45, , ,000 64,000 *50 32,000 ( ) 58 ( ) ( 3 ) MTS 59

31 ( )

32 SPAN 62 SPAN SPAN CME 1988 Standard Portfolio Analysis of Risk( ).. ( ) ( 100 ) 63

33 SPAN SPAN 64 - SPAN (Commodity Group ) SPAN (Combined Commodity ) MSCI MSCI SPAN 65

34 66 - SPAN ( ) ( ) ( ) ( 6 7 ) ( TX TE) 67

35 - SPAN ( ) 68 - =64,000( ) =5% 1/3 & =64, /3 100 =5% 5% 100 5% ( ) 69

37 SPAN ~

38 SPAN SPAN Delta SPAN Delta Delta Delta 1 FITX Delta =1 1 4=4 Delta Delta Composite Delta) delta Delta Delta 75

39 (B) SPAN Delta 4,800 8 Delta = -4 9 Delta = 4 Delta=Min( -4, 4 ) =4,800 4= 19, (C) SPAN =( A Delta + B Delta ) Delta SPAN Delta Delta 77

40 Delta =-4 16,000 Delta =4 13,500 Delta=Min( -4 /1, 4 /1.6)=2.5 1:1.6 1 Delta 1.6 Delta =(16,000+13,500) 50% 2.5=36, (Short Option Minimum) SOM= ( ) = - 79

41 ( )

42 ( ) SPAN SPAN SPAN SPAN SPAN SPAN 82 ( ) SPAN SPAN 83

43 ( ) Delta Delta ( ) Delta 1 84 ( ) SPAN ( ) 85

45 100 12,000 ( 1, ) 88 89

46 6:00 ( ) 90 ( ID ) ( ) ETF 91

47 Delta Delta ( ) 93

然而, 由于资本管制以及进入国际市场交易席位的限制, 中国参与黄金期货交易量相对较少, 中国投资者之前在国际上参与黄金期货买卖量也不多, 导致中国对黄金定价失语已

然而, 由于资本管制以及进入国际市场交易席位的限制, 中国参与黄金期货交易量相对较少, 中国投资者之前在国际上参与黄金期货买卖量也不多, 导致中国对黄金定价失语已黄金定价权大洗牌中国能决定黄金定价吗? 2015/08/22 資料來源 :jiemian.com 2015 年 3 月底, 伦敦金银市场协会开通新的电子系统, 取代伦敦黄金定盘价 6 月, 中国银行成为首家参与黄金定价的中资银行中国用一种积极的姿态, 治愈