3 : 3.1 : 3.2 : 3.3
1 8 5 6 8
3-1
1 8 5 6 8
3-2
(1/3)
(2/3) (Basis) (Basis) (spot) (future) (Basis Risk)
(3/3) ( ) ( ) (560 570) (590 595) (590 605) (590 600)
3-3
3-4
3-5
(1/2) (Simple Hedge Method)
8 5 6 8
(2/2) 1.2 1 1.2 10 12
(Intermonth Spreads)
2007 10 8 (Buy Spread) (Sell Spread)
(Intermarket Spreads)
(Intercommodity Spreads) (TED Spreads)
(Commodity-Product Spreads)
(Butterfly Spreads) 1 2 (Long Butterfly Spreads) 1 2 (Short Butterfly Spreads)
(Condor Spreads) (Long Condor Spreads) (Short Condor Spreads)
(Tandem Spreads) 3 6 3 6
(Arbitrage)
Cashand-Carry Arbitrage Reverse Cash-and-Carry Arbitrage
250 4 4% 3 264.5 3 266 ( )
3-6
3 263
3-7
(TC)
3-6 3-7
4 : 4.1 : (KCBT) 1982 2 (Value Line Index Futures) 1998 7 21 4.2 4.3 4.4
4-1
4-1 7850 1 2013 4 4-1 1. 2. 3. 2013 4 4. 8000
150~200 2013 4 1
: 8000 1 83,000 8150
4-2 8000 1 20,750 3 8100 50
(Open Interest)
4-5
4-6 (2013/3/22)
4-7 (2013/3/22)
(1/2) 1 5 1.2 6000
(2/2)
4-8
(Market Neutral)
1972 CME (IMM)
: 4-9 CME
1
3 6 1 3 6 1 3 6 12,500,000 4-3 24 ( JPY300,000,000/JPY12,500,000) 4-13
4-13
1 3 1 24 ( JPY300,000,000/JPY12,500,000) 4-14
4-14
5 5.1 5.2 5.3 5.4
(Treasury Bills, T-Bills) 1 1 4 13 26 52 4 (Auction) 13 26 52 4
(Eurodollar Deposit, ED) (London Interbank Offer Rate, LIBOR)
(Treasury Notes, T-Notes) (Treasury Bonds, T- Bonds)
5-1
CBOT 1975 CME
5-2 CME
(1/2)
(2/2) YTM 1 YTM 1
6 : 6.1 6.2 6.3 6.4 6.5
(Chicago Board Option Exchange, CBOE) 1973
(Premium) (Exercise Price) (Call Options) (Put Options)
6-1
6-1 1 12 2.5 2,000
(Commodity Options)
(1/2)
(2/2)
6-3
6-2 1 100 1,350 1,340 1,338 1. 2. 1,345
(Option Clearing Corporation, OCC)
6-5
: 100.5 100 1.55 $3,100 1 2000 30,235
6-3 100.5 95 0.08 1 2000 1 6-5
6-4 1 2000 28 1.5 32 2,000
6-6
6-5
6-5 2000 28 2.5 30
6-7
6-6 6-5 38 35 3.5%
-B-S : B-S 1 2 (S) 3 4 5 6 r 7 (Short Selling)
B-S : 60 65 15% 7%
6-8
6-11
6-6
7