# 金融代写|期货期权代写Futures Options代考|FIL37

## 金融代写|期货期权代写Futures Options代考|STOCK INDEX FUTURES

We now move on to consider stock index futures and how they are used to hedge or manage exposures to equity prices.

A stock index tracks changes in the value of a hypothetical portfolio of stocks. The weight of a stock in the portfolio at a particular time equals the proportion of the hypothetical portfolio invested in the stock at that time. The percentage increase in the stock index over a small interval of time is set equal to the percentage increase in the value of the hypothetical portfolio. Dividends are usually not included in the calculation so that the index tracks the capital gain/loss from investing in the portfolio. ${ }^4$

If the hypothetical portfolio of stocks remains fixed, the weights assigned to individual stocks in the portfolio do not remain fixed. When the price of one particular stock in the portfolio rises more sharply than others, more weight is automatically given to that stock. Sometimes indices are constructed from a hypothetical portfolio consisting of one of each of a number of stocks. The weights assigned to the stocks are then proportional to their market prices, with adjustments being made when there are stock splits. Other indices are constructed so that weights are proportional to market capitalization (stock price $\times$ number of shares outstanding). The underlying portfolio is then automatically adjusted to reflect stock splits, stock dividends, and new equity issues.

## 金融代写|期货期权代写Futures Options代考|Stock Indices

Table $3.3$ shows futures prices for contracts on three different stock indices on May 21, $2021 .$

The Dow Jones Industrial Average is based on a portfolio consisting of 30 blue-chip stocks in the United States. The weights given to the stocks are proportional to their prices. The CME Group trades two futures contracts on the index. One is on $\$ 10$times the index. The other (the Mini DJ Industrial Average) is on$\$5$ times the index. The Mini contract trades most actively.

The Standard \& Poor’s 500 (S\&P 500) Index is based on a portfolio of 500 different stocks: 400 industrials, 40 utilities, 20 transportation companies, and 40 financial institutions. The weights of the stocks in the portfolio at any given time are proportional to their market capitalizations. The stocks are those of large publicly held companies that trade on NYSE Euronext or Nasdaq OMX. The CME Group trades two futures contracts on the $S \& P 500$. One is on $\$ 250$times the index; the other (the Mini$S \& P 500$contract) is on$\$50$ times the index. The Mini contract trades most actively.

The Nasdaq-100 is based on a portfolio of 100 stocks traded on the Nasdaq exchange with weights proportional to market capitalizations. The CME Group trades two futures contracts. One is on $\$ 100$times the index; the other (the Mini Nasdaq-100 contract) is on$\$20$ times the index. The Mini contract trades most actively.

Some futures contracts on indices outside the United States are also traded actively. An example is the contract on the CSI 300 index, a market-capitalization-weighted index of 300 Chinese stocks, which trades on the China Financial Futures Exchange (CFFEX, www.cffex.com.cn).

As mentioned in Chapter 2, futures contracts on stock indices are settled in cash, not by delivery of the underlying asset. All contracts are marked to market to either the opening price or the closing price of the index on the last trading day, and the positions are then deemed to be closed. For example, contracts on the $S \& P 500$ are closed out at the opening price of the $S \& P 500$ index on the third Friday of the delivery month.

## 金融代写|期货期权代写Futures Options代考|Stock Indices

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