期货期权词汇

Intrinsic value

The relationship of an option's in-the-money strike price to the current futures price. For a put: strike price - futures price. For a call: futures price - strike price.

Delta

Delta measures the rate of change of an option premium with respect to a price change in the underlying futures contract. Delta is a measure of price sensitivity at any given moment. Not all options move point-for-point with their underlying futures contracts. If a futures contract moves .50 points and the option only moves .25 points, its delta is 50%; i.e., the option is only 50% as sensitive to the movement of underlying futures contract. The delta will change as an option moves from out-of-the-money to at-the-money to in-the-money, approaching 100%. Deltas range from 0% to 100%. The delta of the underlying futures contract is 100% (options pricing software is normally used to calculate delta).

Bundle

The simultaneous sale or purchase of one each of a series of consecutive futures contracts. Bundles provide a readily available, widely accepted method for executing multiple futures contracts with a single transaction.

Bid (or buy)

An offer to buy a specific quantity of a commodity at a stated price. The price that the market participants are willing to pay.

Order Types

(Note that not all order types are eligible for execution in a trading pit on Globex and through open outcry. Additionally, order types eligible for both venues may have different meanings depending on whether the order is to be executed in a trading pit via open outcry or through Globex.) 
Open Outcry Order Types 
All-Or-None (AON) Order
An order to be executed in designated contracts in a trading pit via open outcry only for its entire quantity at a single price, with a size at or above a predetermined threshold. 
Disregard Tape (DRT) Or Not-Held Order 
Absent any restrictions, a "DRT" (Not-Held Order) means any order giving a person complete discretion over price and time in execution of the order, including discretion to execute all, some, or none of the order. A member or clearing member shall not accept an order containing the phrase "with a tick, you are held" (or similar such language). It is understood that a floor broker may trade for his own account while holding such an order without violating Rule 530 (“Priority of Customers’ Orders”) provided the customer has previously consented in writing and evidence of such general consent is indicated on the order with the “WP” (with permission) designation. An instruction to the clearing firm to enter a stop order after execution of a previous order has been achieved. 
Fill Or Kill (FOK) Order
A designation, added to an order, instructing the broker to fill the order immediately in its entirety or not all. If the order is not filled immediately in its entirety, it is cancelled. 
Limit Order
An order with instructions to be executed at a specific price ("limit price") or better. 
Market (MKT) Order
An order with instructions to be executed upon receipt by a floor broker at the best available price. 
Market If Touched (MIT) Order
A sell (buy) order placed above (below) the market which becomes a market order when the designated price is touched. 
Market On Close (MOC) Order 
An order to be executed as a market order only in the closing range. 
One-Cancels-Other (OCO) Order 
A combination of two orders, in which the execution of either one automatically cancels the other. 
Open Order (Good-Till-Cancelled)
An order which remains in force until cancelled. Without such designation, all unfilled orders are cancelled at the end of the Regular Trading Hours Session. 
Opening Only Order
An order that is to be executed during the time period designated by the Exchange as the Regular Trading Hours session opening range time period. Any remaining unfilled quantity not executed during the time period designated as the opening range will be deemed cancelled. 
Stop Order
An order which becomes a market order when the price designated on the order (the "Stop Price") is elected as described below.
A "Buy Stop" order is placed above the market, and is elected only when the market trades at or above, or is bid at or above, the Stop Price. A "Sell Stop" order is placed below the market, and is elected only when the market trades at or below, or is offered at or below, the Stop Price. 
Stop-Close Only Order
A stop order which is in effect only during the closing range. It becomes a market order if, during the closing range, the market: (1) in the case of a Buy Stop-Close Only order, trades at or above, or is bid at or above the Stop Price; or (2) in the case of a Sell Stop-Close Only order, trades at or below, or is offered at or below the Stop Price. 
Stop Limit Order
A stop order which becomes executable at its limit price or better, when and if the market: (1) in the case of a Buy Stop Limit order, trades at or above, or is bid at or above the Stop Price; or (2) in the case of a Sell Stop Limit order, trades at or below, or is offered at or below the Stop Price. 
Globex Order Types
The availability of specific Globex Order Types is dependent on the product, and not all Order Types are available for all products. Supported Order Types by Product are set forth in the Globex Reference Guide. 
Combination Order
A combination of buy and/or sell orders for the same account or accounts with the same ownership, except as provided by Rule 527, at a fixed differential or by some other appropriate pricing convention. 
Hidden Quantity Order
An order which displays only a small portion of the order to the marketplace. When the displayed quantity has been filled, another portion of the order will then be displayed to the marketplace. 
Limit Order
An order to be executed at a specific price ("limit price") or better. 
Market With Protection Order
An order to execute as much of order as possible at the best current offer price (for buy orders) or bid price (for sell orders) within a range of prices predefined by the Exchange (the protected range). Any quantity which cannot be filled within the protected range will remain in the order book as a limit order at the limit of the protected range. 
Minimum Quantity Order
An order which is executed only if a certain minimum quantity of that order can be immediately matched. 
Stop Limit Order
An order which becomes eligible for execution at its limit price or better when the market trades at or above the stop price in the case of a buy stop limit order or at or below the stop price in the case of a sell stop limit order. 
Stop With Protection Order
An order which becomes eligible for execution when the designated price (the stop price) is traded on Globex. Such orders are filled only within a range of prices predefined by the Exchange (the protected range). When the stop price is triggered, the order enters the order book as a limit order with the limit price equal to the trigger price plus or minus the predefined protected range. Any quantity which cannot be filled within the protected range will remain in the order book as a limit order at the limit price. 
Globex Order Duration Qualifiers
An order eligible to be entered into Globex that does not contain a duration qualifier will be cancelled if not filled during the Trading Day in which it was received or, if it was received between Trading Days, during the next Trading Day. An order may specify one of the following duration qualifiers: 
Day
An order that will be canceled if not filled by the conclusion of the Globex trade date for which it was entered. 
Fill And Kill
An order immediately filled in whole or in part at the specified price, with any remaining quantity canceled or eliminated. 
Good ‘Till Canceled (GTC)
An order which will remain in force until executed, cancelled or the contract expires. 
Good ‘Till Date (GTD)
An order which will remain in force through a specified trade date unless executed or canceled, or until the contract expires.

Delivery

The tender and receipt of an actual commodity or financial instrument in settlement of a futures contract.

Trading day

(Should actually be called 'Clearing Day') –Period within which all executed trades for a given class are cleared on the same day. This period may very well exceed 24 hours. One or more sessions could take place.

Volume

The number of contracts in futures or options on futures made during a specified period of time.

Producer Price Index (PPI)

An index that shows the cost of resources needed to produce manufactured goods during the previous month.

Spread

An options position established by purchasing one option and selling another option of the same class, but of a different series.

Price Limit

The maximum advance or decline from the previous day's settlement price permitted for a contract in one trading session by the rules of the exchange. See also Variable Limit, Maximum Price Fluctuation.

Brokerage

The fee charged by a broker for execution of a transaction. May be a flat amount or a percentage; usually referred to as a commission.

Hedger

A person or firm who uses the futures market to offset price risk when intending to sell or buy the actual commodity.

Bond

Instrument traded on the cash market-representing a debt of the government or of a company.

Reserve Requirements

The minimum amount of cash and liquid assets as a percentage of demand deposits and time deposits that member banks of the Federal Reserve are required to maintain. ve Requirements.

Offset

The buyer is under no obligation to exercise an option on a futures contract. As a matter of fact, many traders choose to offset their position prior to expiration. Traders will offset their position if they wish to take profits before expiration or limit losses on the downside. Buyers can offset their options by instructing their broker to sell their option before expiration. An option seller can offset a position by buying back or “covering” a short position. Options on futures, like futures themselves, trade both on the CME floor, where a market normally exists to offset options positions, and on the Globex electronic trading platform, where many options can be traded virtually around-the-clock throughout the trading week.

Contract month

The month in which futures contracts may be satisfied by making or accepting delivery. Also called the delivery month.

Expiration Date/Last Trading Day

This is the last day on which an option can be exercised into the underlying futures contract. After this point the option will cease to exist; the buyer cannot exercise and the seller has no obligation. Note that some options expire prior to the final settlement or expiration of the underlying futures contract. For example, a September 2012 Wheat 900 call option will expire August 24, 2012. However, the underlying futures will expire September 14, 2012. The last trading day is the last day on which an option can be offset.

Gross Processing Margin (GPM)

The difference between the cost of soybeans and the combined sales income of the processed soybean oil and meal.

Sell (Sell Order)

An offer. This transaction type indicates to sell or to go short. Opposite of buy or go long.

Day trading

Refers to establishing and liquidating the same position or positions within one day's trading, thus ending the day with no established position in the market.

Reference price

The price of an instrument used as "reference" –e.g., for determining an opening price, starting an algorithm, or figuring into an index –and is usually the settlement price or last closing price.

Options Available

Signifies whether an options on futures contract is available for this futures contract.

Contract Size

Defines the number of units of the underlying market represented by one futures contract.

Notional value

The underlying value (face value), normally expressed is U.S. dollars, of the financial instrument or commodity specified in a futures or options contract.

Commodity Futures Trading Commission

Also known as the CFTC, this is the independent governmental organization that oversees futures and options trading in the United States.

Over the Counter Trading

Trades that take place outside of a formal futures exchange.

Equilibrium Price

The market price at which the quantity supplied of a commodity equals the quantity demanded.

Long position

A position in which the trader has bought a futures contract that does not offset a previously established short position.

Position Trader

A trader who takes a position in the market and might hold that position over a long period of time.

Arbitrage

The simultaneous purchase and sale of identical or equivalent financial instruments or commodity futures in order to benefit from a discrepancy in their price relationship.

Price order

An order to sell or buy at a certain price or better.

Matched trade

The execution of the buy and sell orders that together consummate a trade. A matched trade consists of one or more contracts and occurs when the same price is specified by buy and sell orders, for a specified number of contracts.

Exercise Price

Also known as the strike price, the exercise price is the price at which the option buyer may buy or sell the underlying futures contracts. Exercising the option results in a futures position at the designated strike price. For example, by exercising a December Crude Oil (WTI) 9400 call, the buyer of the option would then be long a December Crude Oil (WTI) contract at$94.00. If the holder of an August CME Live Cattle 120 put were to exercise his or her option, the result would be a short futures position, at 120.000, in August CME Live Cattle. Strike prices are set by the exchange and have different intervals depending on the underlying contract. Strike prices are set above and below the existing futures price and additional strikes are added if the futures move significantly up or down.

Differentials

Price differences between classes, grades, and delivery locations of various stocks of the same commodity.

Market value

The current value of all commodities held in a margin account.

Liquidate

Selling (or purchasing) futures contracts of the same delivery month purchased (or sold) during an earlier transaction or making (or taking) delivery of the cash commodity represented by the futures contract. See Offset.

Average Daily Volume

Equals volume for a specified time period divided by the number of business days within that same time period.

Opening

The beginning of the trading session.

Opening range

The range of prices at which the first bids and offers were made or first transactions were completed. Must be initiated by at least one trade.

Full Carrying Charge Market

A futures market where the price difference between delivery months reflects the total costs of interest, insurance, and storage.

Execution

The completion of an order to buy or sell a futures contract.

Exercise or strike price

The price at which the buyer of a call can purchase the commodity during the life of the option, and the price at which the buyer of a put can sell the commodity during the life of the option.

Price Quotation

Price per contract unit. Note placement of decimal. Numeral after ‘ in grains is in quarter-cents, e.g. 2 = 0.25; 4 = 0.50; in interest rates = points & half-points of 1/32.

Position Limit

The maximum number of speculative futures contracts one can hold as determined by the Commodity Futures Trading Commission and/or the exchange upon which the contract is traded. Also referred to as trading limit.

Index

A number that is representative of a whole market or market segment, usually computed by a sum product of a list of instruments' current prices and a list of weights assigned to these instruments.

Carryover

Last year's ending stocks of a storable commodity.

Yield

A measure of the annual return on an investment.

Quantity

Number of instrument units (e.g. lots) to be traded, in order or a trade. Sometimes also called "size."

Daily trading limits

The maximum price fluctuations permitted a contract during one trading session as set by the Exchange. These exist on certain contracts.

Time Value Decay

As discussed in the previous section, the value of an option beyond intrinsic value is called time value. It is the sum of money option traders are willing to pay given the likelihood of the option increasing in value. Time value erodes as each day passes, accelerating as expiration nears. This characteristic of options is referred to as time-decay and is the reason why options are sometimes considered “wasting assets.” If time passes and the underlying futures contract does not move far enough by expiration, the option’s time value will decay and the option trader may incur a loss.

Maximum price fluctuation

The maximum amount the contract price can change up or down during one trading session, as stipulated by Exchange rules.

Minimum Tick

Minimum price fluctuation per contract unit. Also known as tick size or tick value.

Nearby

The nearest active trading month of a futures or options on futures contract. Also referred to as the lead month.

Option Buyer

An option buyer can choose to exercise his or her right and take a position in the underlying futures. A call buyer can exercise the right to buy the underlying futures and a put buyer can exercise the right to sell the underlying futures contract. In most cases though, option buyers do not exercise their options, but instead offset them in the market before expiration, if the options have any value.

Premium

The premium is the price that the buyer of an option pays and the seller of an option receives for the rights conveyed by an option. Thus, ultimately the cost of an option is determined by supply and demand. Various factors affect options premiums, including strike price level in relation to the futures price level; time remaining to expiration; and market volatility —all of which will be discussed further.

Futures

A term used to designate all contracts covering the purchase and sale of financial instruments or physical commodities for future delivery on a commodity futures exchange.

Futures Exchange

A central marketplace with established rules and regulations where buyers and sellers meet to trade futures and options on futures contracts.

Strike (price)

The price at which the option buyer may purchase or sell the underlying futures contract upon exercise.

Open order

An order that remains good until filled, cancelled or eliminated. See good-til-canceled.

Leverage

The use of a small amount of assets to control a greater amount of assets.

Underlying Futures Contract

The underlying is the corresponding futures contract that is purchased or sold upon the exercise of the option. For example, an option on an August CME Live Cattle futures contract is the right to buy or sell one such contract. An option on September Wheat futures gives the right to buy or sell one September Wheat futures contract.

Foreign Exchange Rate

The price of a country's currency when converted from another country's currency.

Volatile

A measurement of the change in price over a given time period.

Registered representative

A person employed by, and soliciting business for, a commission house or futures commission merchant.

Clearing

The procedure through which the Clearing House becomes buyer to each seller of a futures contract, and seller to each buyer, and assumes responsibility for protecting buyers and sellers from financial loss by assuring performance on each contract.

Lagging Indicators

Market indicators showing the general direction of the economy and confirming or denying the trend implied by the leading indicators. Also referred to as concurrent indicators.

Bear market (bear/bearish)

A market in which prices are declining.

Actuals

An actual physical commodity someone is buying or selling, e.g., soybeans, corn, gold, silver, Treasury bonds, etc.

Spot month

The nearest trading month which may or may not be the current calendar month. Usually used as the current delivery month for a commodity.

Electronic Trading

The computerized processes and platforms that carry out a trade, including order placement, bid-and-offer posting and trade execution.

Call Option

A call option gives the holder (buyer) the right to buy (go long) a futures contract at a specific price on or before an expiration date. For example, a December Corn 820 call option gives the holder (buyer) the right to buy or go long a December corn futures contract at a price of 820 (shorthand for $8.20/bu) anytime between purchase and the December options expiration. Even if corn futures rise substantially above 8.20/bu, the call holder will still have the right to buy corn futures at 8.20/bu.

Puts and Calls

Puts and calls are separate option contracts; they are not the opposite side of the same transaction. For every put buyer there is a put seller, and for every call buyer there is a call seller. The option buyer pays a premium to the seller in every transaction.

Exhaustion gap

A gap in prices near the top or bottom of a price move that signals an abrupt turn in the market.

Algorithm

An automated, pre-programmed set of rules that can be used to execute an electronic trade.

Synthetic option

A combination of a futures contract and an option, in which one is bullish and one is bearish.

Synthetic call option

A combination of a long futures contract and a long put, called a synthetic long call. Also, a combination of a short futures contract and a short put, called a synthetic short call.

Brokerage house

A firm that handles orders to buy and sell futures and options contracts for customers.

Settlement price

A figure determined by the closing range that is used to calculate gains and losses in futures market accounts, performance bond calls and invoice prices for deliveries. See "closing range."

Clearing margin

Financial safeguards to ensure that clearing members (usually companies or corporations) perform on their customers' open futures and options contracts.

U.S. Treasury Note

Government-debt security with a coupon and original maturity of one to 10 years.

Federal Funds Rate

The rate of interest charged for the use of federal funds.

Retracement

A price move in the opposite direction of a recent trend.

Hundredweight

100 pounds. Abbreviated cwt.

Adjusted Futures Price

The cash-price equivalent reflected in the current futures price. This is calculated by taking the futures price times the conversion factor for the particular financial instrument (e.g., bond or note) being delivered.

Scalp

To trade for small gains. Scalping normally involves establishing and liquidating a position quickly, usually within the same day, hour or even just a few minutes.

Back months

The futures or s on futures months being traded that are furthest from expiration. Also called deferred or distant months.

Runaway gap

A gap in prices after a trend has begun that signals the halfway point of a market move.

Transparency

The amount of access a market openly offers about its activities and financial information.

Financial Instrument

There are two basic types: (1) a debt instrument, which is a loan with an agreement to pay back funds with interest; (2) an equity security, which is a share or stock in a company.

Resistance line

A price level above which prices tend not to rise due to selling pressure.

Limit order

Usually equivalent to "price." An order in which the customer sets a limit on price or other condition, as contrasted with the trading floor definition of a market order, which implies that the order should be filled as soon as possible.

Leading Indicators

Market indicators that signal the state of the economy for the coming months. Some of the leading indicators include: average manufacturing workweek, initial claims for unemployment insurance, orders for consumer goods and material, percentage of companies.

Feed Ratio

A ratio used to express the relationship of feeding costs to the dollar value of livestock. See Hog/Corn Ratio and Steer/Corn Ratio.