Knowledge (XXG)

Single-stock futures

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The party agreeing to take delivery of the underlying stock in the future, the "buyer" of the contract, is said to be "long", and the party agreeing to deliver the stock in the future, the "seller" of the contract, is said to be "short." The terminology reflects the expectations of the parties - the
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limitations that stocks are subjected to. They are traded in various financial markets, including those of the United States, United Kingdom, Spain, India and others. South Africa currently hosts the largest single-stock futures market in the world, trading on average 700,000 contracts daily.
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buyer hopes or expects that the stock price is going to increase, while the seller hopes or expects that it will decrease. Because entering the contract itself costs nothing, the buy/sell terminology is a linguistic convenience reflecting the position each party is taking - long or short.
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between two parties to exchange a specified number of stocks in a company for a price agreed today (the futures price or the strike price) with delivery occurring at a specified future date, the delivery date. The contracts can be later traded on a
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where r is the risk free rate expressed as a continuous return, and e is the base of the natural log. Note the value of r will be slightly different in the two equations. The relationship between continuous returns and annualized returns is
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SSFs are usually traded in increments/lots/batches of 100. When purchased, no transmission of share rights or dividends occurs. Being futures contracts they are traded on margin, thus offering leverage, and they are not subject to the
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Single stock futures values are priced by the market in accordance with the standard theoretical pricing model for forward and futures contracts, which is:
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where F is the current (time t) cost of establishing a futures contract, S is the current price (spot price) of the underlying stock, r is the annualized
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The value of a futures contract is zero at the moment it is established, but changes thereafter until time T, at which point its value equals S
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products, including single-stock futures, although one of these exchanges has since closed. The remaining market is known as
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became law, the two agencies eventually agreed on a jurisdiction-sharing plan and SSF's began trading on November 8, 2002.
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In the United States, they were disallowed from any exchange listing in the 1980s because the
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and is now a part-owner of the exchange. As of September 2020 OneChicago has been closed.
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When the risk-free rate is expressed as a continuous return, the contract price is:
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were unable to decide which would have the regulatory authority over these products.
225:, t is the present time, T is the time when the contract expires and PV(Div) is the 1137: 911: 839: 819: 779: 648: 620: 610: 552: 1018: 886: 857: 853: 804: 595: 590: 1342: 978: 973: 739: 625: 358: 108: 84: 532: 1357: 1102: 824: 721: 542: 88: 20: 454: 229:
of any dividends generated by the underlying stock between t and T.
422: 458: 438: 378:"Die belastingvoordele wat aftreebeleggings vir jou inhou" 241: 128: 443: 1310: 1229: 1186: 1082: 959: 867: 730: 639: 576: 510: 501: 317: 210: 87:, a joint venture of three previously-existing 439:OneChicago - The Single Stock Futures Exchange 470: 8: 16:Futures contracts for trading company stocks 74:Commodity Futures Modernization Act of 2000 507: 477: 463: 455: 318:{\displaystyle F=\cdot e^{r\cdot (T-t)}\ } 288: 240: 187: 127: 1302:Power reverse dual-currency note (PRDC) 1242:Constant proportion portfolio insurance 369: 211:{\displaystyle F=\cdot (1+r)^{(T-t)}\ } 67:U.S. Securities and Exchange Commission 7: 1237:Collateralized debt obligation (CDO) 444:Commodity Futures Trading Commission 395:Commodity Futures Trading Commission 354:Commodity Futures Trading Commission 79:Two new exchanges initially offered 63:Commodity Futures Trading Commission 419:"Single Stock Futures | OneChicago" 450:Saratoga Capital Market Commentary 14: 1356: 103:. In 2006, the brokerage firm 1064:Year-on-year inflation-indexed 307: 295: 278: 275: 263: 248: 200: 188: 184: 171: 165: 162: 150: 135: 93:Chicago Board Options Exchange 1: 1074:Zero-coupon inflation-indexed 107:made an equity investment in 1277:Foreign exchange derivative 669:Callable bull/bear contract 97:Chicago Mercantile Exchange 1400: 1351: 1178:Stock market index future 492: 1297:Mortgage-backed security 1292:Interest rate derivative 1267:Equity-linked note (ELN) 1252:Credit-linked note (CLN) 1247:Contract for difference 548:Risk-free interest rate 223:risk-free interest rate 1029:Forward Rate Agreement 407:One Chicago Fact Sheet 319: 212: 101:Chicago Board of Trade 91:-based exchanges, the 1384:Derivatives (finance) 1257:Credit default option 601:Employee stock option 320: 213: 1211:Inflation derivative 1196:Commodity derivative 1168:Single-stock futures 1158:Normal backwardation 1148:Interest rate future 989:Conditional variance 495:Derivative (finance) 239: 126: 1363:Business portal 1216:Property derivative 105:Interactive Brokers 25:single-stock future 1221:Weather derivative 1206:Freight derivative 1188:Exotic derivatives 1108:Commodities future 795:Intermarket spread 558:Synthetic position 486:Derivatives market 315: 208: 1371: 1370: 1272:Equity derivative 1262:Credit derivative 1230:Other derivatives 1201:Energy derivative 1163:Perpetual futures 1044:Overnight indexed 994:Constant maturity 955: 954: 902:Finite difference 835:Protective option 314: 207: 1391: 1361: 1360: 1133:Forwards pricing 907:Garman–Kohlhagen 508: 479: 472: 465: 456: 427: 426: 421:. Archived from 415: 409: 404: 398: 392: 386: 385: 374: 324: 322: 321: 316: 312: 311: 310: 217: 215: 214: 209: 205: 204: 203: 81:security futures 57:SSFs in the U.S. 38:futures exchange 33:futures contract 1399: 1398: 1394: 1393: 1392: 1390: 1389: 1388: 1374: 1373: 1372: 1367: 1355: 1347: 1333:Great Recession 1328:Government debt 1306: 1282:Fund derivative 1225: 1182: 1143:Futures pricing 1118:Dividend future 1113:Currency future 1096: 1078: 951: 927:Put–call parity 863: 850:Vertical spread 785:Diagonal spread 755:Calendar spread 726: 635: 572: 497: 488: 483: 435: 430: 417: 416: 412: 405: 401: 393: 389: 384:. July 5, 2019. 376: 375: 371: 367: 350: 343: 339: 332: 284: 237: 236: 183: 124: 123: 117: 59: 31:) is a type of 17: 12: 11: 5: 1397: 1395: 1387: 1386: 1376: 1375: 1369: 1368: 1366: 1365: 1352: 1349: 1348: 1346: 1345: 1340: 1338:Municipal debt 1335: 1330: 1325: 1323:Corporate debt 1320: 1314: 1312: 1308: 1307: 1305: 1304: 1299: 1294: 1289: 1284: 1279: 1274: 1269: 1264: 1259: 1254: 1249: 1244: 1239: 1233: 1231: 1227: 1226: 1224: 1223: 1218: 1213: 1208: 1203: 1198: 1192: 1190: 1184: 1183: 1181: 1180: 1175: 1170: 1165: 1160: 1155: 1150: 1145: 1140: 1135: 1130: 1125: 1123:Forward market 1120: 1115: 1110: 1105: 1099: 1097: 1095: 1094: 1089: 1083: 1080: 1079: 1077: 1076: 1071: 1066: 1061: 1056: 1051: 1046: 1041: 1036: 1031: 1026: 1021: 1016: 1011: 1006: 1004:Credit default 1001: 996: 991: 986: 981: 976: 971: 965: 963: 957: 956: 953: 952: 950: 949: 944: 939: 934: 929: 924: 919: 914: 909: 904: 899: 889: 884: 879: 873: 871: 865: 864: 862: 861: 847: 842: 837: 832: 827: 822: 817: 812: 807: 802: 800:Iron butterfly 797: 792: 787: 782: 777: 772: 770:Covered option 767: 762: 757: 752: 747: 742: 736: 734: 728: 727: 725: 724: 719: 714: 709: 708:Mountain range 706: 701: 696: 691: 686: 681: 676: 671: 666: 661: 656: 651: 645: 643: 637: 636: 634: 633: 628: 623: 618: 613: 608: 603: 598: 593: 588: 582: 580: 574: 573: 571: 570: 565: 560: 555: 550: 545: 540: 535: 530: 525: 520: 514: 512: 505: 499: 498: 493: 490: 489: 484: 482: 481: 474: 467: 459: 453: 452: 447: 441: 434: 433:External links 431: 429: 428: 425:on 2008-12-16. 410: 399: 387: 368: 366: 363: 362: 361: 356: 349: 346: 341: 337: 330: 326: 325: 309: 306: 303: 300: 297: 294: 291: 287: 283: 280: 277: 274: 271: 268: 265: 262: 259: 256: 253: 250: 247: 244: 219: 218: 202: 199: 196: 193: 190: 186: 182: 179: 176: 173: 170: 167: 164: 161: 158: 155: 152: 149: 146: 143: 140: 137: 134: 131: 116: 113: 58: 55: 15: 13: 10: 9: 6: 4: 3: 2: 1396: 1385: 1382: 1381: 1379: 1364: 1359: 1354: 1353: 1350: 1344: 1341: 1339: 1336: 1334: 1331: 1329: 1326: 1324: 1321: 1319: 1318:Consumer debt 1316: 1315: 1313: 1311:Market issues 1309: 1303: 1300: 1298: 1295: 1293: 1290: 1288: 1287:Fund of funds 1285: 1283: 1280: 1278: 1275: 1273: 1270: 1268: 1265: 1263: 1260: 1258: 1255: 1253: 1250: 1248: 1245: 1243: 1240: 1238: 1235: 1234: 1232: 1228: 1222: 1219: 1217: 1214: 1212: 1209: 1207: 1204: 1202: 1199: 1197: 1194: 1193: 1191: 1189: 1185: 1179: 1176: 1174: 1171: 1169: 1166: 1164: 1161: 1159: 1156: 1154: 1151: 1149: 1146: 1144: 1141: 1139: 1136: 1134: 1131: 1129: 1128:Forward price 1126: 1124: 1121: 1119: 1116: 1114: 1111: 1109: 1106: 1104: 1101: 1100: 1098: 1093: 1090: 1088: 1085: 1084: 1081: 1075: 1072: 1070: 1067: 1065: 1062: 1060: 1057: 1055: 1052: 1050: 1047: 1045: 1042: 1040: 1039:Interest rate 1037: 1035: 1032: 1030: 1027: 1025: 1022: 1020: 1017: 1015: 1012: 1010: 1007: 1005: 1002: 1000: 997: 995: 992: 990: 987: 985: 982: 980: 977: 975: 972: 970: 967: 966: 964: 962: 958: 948: 945: 943: 940: 938: 935: 933: 932:MC Simulation 930: 928: 925: 923: 920: 918: 915: 913: 910: 908: 905: 903: 900: 897: 893: 892:Black–Scholes 890: 888: 885: 883: 880: 878: 875: 874: 872: 870: 866: 859: 855: 851: 848: 846: 845:Risk reversal 843: 841: 838: 836: 833: 831: 828: 826: 823: 821: 818: 816: 813: 811: 808: 806: 803: 801: 798: 796: 793: 791: 788: 786: 783: 781: 778: 776: 775:Credit spread 773: 771: 768: 766: 763: 761: 758: 756: 753: 751: 748: 746: 743: 741: 738: 737: 735: 733: 729: 723: 720: 718: 715: 713: 710: 707: 705: 702: 700: 699:Interest rate 697: 695: 694:Forward start 692: 690: 687: 685: 682: 680: 677: 675: 672: 670: 667: 665: 662: 660: 657: 655: 652: 650: 647: 646: 644: 642: 638: 632: 629: 627: 624: 622: 621:Option styles 619: 617: 614: 612: 609: 607: 604: 602: 599: 597: 594: 592: 589: 587: 584: 583: 581: 579: 575: 569: 566: 564: 561: 559: 556: 554: 551: 549: 546: 544: 541: 539: 538:Open interest 536: 534: 531: 529: 526: 524: 521: 519: 518:Delta neutral 516: 515: 513: 509: 506: 504: 500: 496: 491: 487: 480: 475: 473: 468: 466: 461: 460: 457: 451: 448: 445: 442: 440: 437: 436: 432: 424: 420: 414: 411: 408: 403: 400: 396: 391: 388: 383: 379: 373: 370: 364: 360: 357: 355: 352: 351: 347: 345: 334: 333:= ln(1 + r). 304: 301: 298: 292: 289: 285: 281: 272: 269: 266: 260: 257: 254: 251: 245: 242: 235: 234: 233: 230: 228: 227:Present value 224: 197: 194: 191: 180: 177: 174: 168: 159: 156: 153: 147: 144: 141: 138: 132: 129: 122: 121: 120: 114: 112: 110: 106: 102: 98: 94: 90: 86: 82: 77: 75: 70: 68: 64: 56: 54: 51: 50:short selling 45: 41: 39: 34: 30: 26: 22: 1167: 1138:Forward rate 1049:Total return 937:Real options 840:Ratio spread 820:Naked option 780:Debit spread 611:Fixed income 553:Strike price 423:the original 413: 402: 390: 381: 372: 335: 327: 231: 220: 118: 80: 78: 71: 60: 46: 42: 28: 24: 18: 1069:Zero Coupon 999:Correlation 947:Vanna–Volga 805:Iron condor 591:Bond option 1343:Tax policy 1059:Volatility 969:Amortising 810:Jelly roll 745:Box spread 740:Backspread 732:Strategies 568:Volatility 563:the Greeks 528:Expiration 365:References 359:OneChicago 109:OneChicago 85:OneChicago 72:After the 1034:Inflation 984:Commodity 942:Trinomial 877:Bachelier 869:Valuation 750:Butterfly 684:Commodore 533:Moneyness 397:cftc.gov 302:− 293:⋅ 282:⋅ 255:− 195:− 169:⋅ 142:− 1378:Category 1173:Slippage 1103:Contango 1087:Forwards 1054:Variance 1014:Dividend 1009:Currency 922:Margrabe 917:Lattices 896:equation 882:Binomial 830:Strangle 825:Straddle 722:Swaption 704:Lookback 689:Compound 631:Warrants 606:European 586:American 578:Vanillas 543:Pin risk 523:Exercise 382:Moneyweb 348:See also 99:and the 65:and the 1092:Futures 712:Rainbow 679:Cliquet 674:Chooser 654:Barrier 641:Exotics 503:Options 115:Pricing 89:Chicago 21:finance 1153:Margin 1019:Equity 912:Heston 815:Ladder 765:Condor 760:Collar 717:Spread 664:Binary 659:Basket 313:  206:  1024:Forex 979:Basis 974:Asset 961:Swaps 887:Black 790:Fence 649:Asian 511:Terms 858:Bull 854:Bear 596:Call 23:, a 626:Put 340:- F 29:SSF 19:In 1380:: 856:, 616:FX 380:. 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Index

finance
futures contract
futures exchange
short selling
Commodity Futures Trading Commission
U.S. Securities and Exchange Commission
Commodity Futures Modernization Act of 2000
OneChicago
Chicago
Chicago Board Options Exchange
Chicago Mercantile Exchange
Chicago Board of Trade
Interactive Brokers
OneChicago
risk-free interest rate
Present value
Commodity Futures Trading Commission
OneChicago
"Die belastingvoordele wat aftreebeleggings vir jou inhou"
Commodity Futures Trading Commission
One Chicago Fact Sheet
"Single Stock Futures | OneChicago"
the original
OneChicago - The Single Stock Futures Exchange
Commodity Futures Trading Commission
Saratoga Capital Market Commentary
v
t
e
Derivatives market

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