1358:
43:
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
52:
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.
44:
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.
35:
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
328:
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
47:
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
323:
216:
901:
476:
119:
Single stock futures values are priced by the market in accordance with the standard theoretical pricing model for forward and futures contracts, which is:
73:
221:
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
1241:
66:
931:
336:
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
353:
62:
1063:
799:
1301:
469:
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406:
83:
products, including single-stock futures, although one of these exchanges has since closed. The remaining market is known as
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1236:
881:
92:
76:
became law, the two agencies eventually agreed on a jurisdiction-sharing plan and SSF's began trading on
November 8, 2002.
1276:
814:
668:
462:
96:
895:
449:
1073:
1177:
988:
238:
1296:
1291:
946:
891:
418:
394:
125:
1246:
916:
906:
774:
615:
547:
222:
1195:
1043:
1028:
993:
936:
100:
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600:
921:
1210:
1157:
1147:
868:
809:
744:
698:
693:
567:
527:
494:
344:, i.e., the current cost of the stock minus the originally established cost of the futures contract.
926:
1215:
1003:
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104:
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1205:
1172:
1038:
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1200:
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1048:
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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.
49:
446:- the main federal agency that regulates futures and the exchanges in the United States.
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517:
232:
When the risk-free rate is expressed as a continuous return, the contract price is:
226:
69:
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
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911:
839:
819:
779:
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108:
84:
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88:
20:
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of any dividends generated by the underlying stock between t and T.
422:
458:
438:
378:"Die belastingvoordele wat aftreebeleggings vir jou inhou"
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128:
443:
1310:
1229:
1186:
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959:
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730:
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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:
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421:. Archived from
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81:security futures
57:SSFs in the U.S.
38:futures exchange
33:futures contract
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1333:Great Recession
1328:Government debt
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1282:Fund derivative
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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:
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384:. July 5, 2019.
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31:) is a type of
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1123:Forward market
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1004:Credit default
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800:Iron butterfly
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770:Covered option
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708:Mountain range
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433:External links
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425:on 2008-12-16.
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1318:Consumer debt
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1311:Market issues
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1128:Forward price
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932:MC Simulation
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892:Black–Scholes
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845:Risk reversal
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775:Credit spread
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699:Interest rate
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694:Forward start
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621:Option styles
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538:Open interest
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518:Delta neutral
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334:
333:= ln(1 + r).
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227:Present value
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50:short selling
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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
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402:
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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:.
95:,
40:.
898:)
894:(
860:)
852:(
478:e
471:t
464:v
342:t
338:T
331:c
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308:)
305:t
299:T
296:(
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279:]
276:)
273:v
270:i
267:D
264:(
261:V
258:P
252:S
249:[
246:=
243:F
201:)
198:t
192:T
189:(
185:)
181:r
178:+
175:1
172:(
166:]
163:)
160:v
157:i
154:D
151:(
148:V
145:P
139:S
136:[
133:=
130:F
27:(
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