Certified Futures Trader

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Govt. Certified Futures Trader

1. Introduction

1.1 Forward Contracts versus Futures Contracts
1.2 Type of Assets Underlying Futures Contracts
1.3 Futures Exchanges
1.4 Types of Assets Underlying Options Contracts
1.5 Options Exchanges
1.6 Hedgers, Speculators, and Arbitrageurs
1.7 The Role of Futures and Options Markets
1.8 Reasons for the Rapid Growth of Derivative Markets
1.9 The Recent Indian Story in Derivatives
1.10 Electronic Exchanges: The State-of-the-Art

2. Fundamentals of Futures Markets

2.1 Standardization of Futures Contracts
2.2 Margins and Marking to Market: General Principles
2.3 Spot-Futures Convergence at Expiration
2.4 Trading: General Principles
2.5 Value at Risk (VaR)
2.6 VaR in the Context of Futures Trading in India
2.7 Types of Members and the Margining System in India
2.8 Types of Orders
2.9 Liquidating a Futures Position
2.10 Trading Volume versus Open Interest
2.11 Conversion Factors When There are Multiple Deliverable Grades
2.12 Single Stock Futures

3. Pricing of Futures Contracts

3.1 Notation
3.2 Assumptions
3.3 Forward Contract on a Security That Provides No Income
3.4 Forward Contracts on Assets That Provide a Known Dividend Yield
3.5 Forward Contracts on Commodities
3.6 Investment Assets
3.7 Consumption Assets
3.8 Calendar Spreads and Arbitrage
3.9 Net Carry
3.10 ‘Backwardation’ and ‘Contango’
3.11 Delivery Options
3.12 Imperfect Markets
3.13 Synthetic Securities
3.14 Forward Price versus Futures Prices
3.15 Stochastic Interest Rates
3.16 Quasi- Arbitrage
3.17 Risk and Futures Prices

4. Hedging

4.1 A Selling Hedge
4.2 A Buying Hedge
4.3 Lifting a Hedge Prior to the Expiration of the Futures Contract
4.4 Basis Risk
4.5 Selecting a Futures Contract
4.6 A Rolling Hedge
4.7 The Hedge Ratio
4.8 Estimating the Hedge Ratio
4.9 Tailing a Hedge
4.10 Quantity Uncertainty
4.11 Rationale for Hedging
4.12 Hedging Processing Margins
4.13 Developing Derivative Exchanges Key Issues

5. Short -Term Interest Rate Futures

5.1 Eurodollars
5.2 T-bills
5.3 Yields
5.4 T-bill Futures
5.5 The No-Arbitrage Pricing Condition
5.6 Risk Management Using T-bill Futures
5.7 Shortening T-bill Maturities
5.8 Lengthening T-bill Maturities
5.9 Risk Management Using Chained Hedge Ratios
5.10 Introduction to Eurodollar Futures
5.11 Calculating Profits and Losses on ED Futures
5.12 Bundles and Packs
5.13 Locking in a Borrowing Rate
5.14 Cash and Carry Arbitrage
5.15 Reverse Cash and Carry Arbitrage
5.16 The No-Arbitrage Pricing Equation
5.17 Hedging Rates for Periods Not Equal to 90 Days
5.18 Creating a Fixed Rate Loan
5.19 Strip versus Stack Hedges
5.20 The TED Spread

6. Long-Term Interest Rate Futures

6.1 Fundamentals of Bond Valuation
6.2 Duration
6.3 The Cash Market
6.4 The Futures Market
6.5 Conversion Factors
6.6 Calculating the Invoice Price for a T-bond
6.7 The Cheapest to Deliver Bond
6.8 Arbitrage or Risk Arbitrage?
6.9 Seller’s Options
6.10 Hedging

7. Foreign Exchange Futures

7.1 Purchase and Sale
7.2 The Spot Market
7.3 Arbitrage
7.4 The Forward Market
7.5 Merchant Rates and Exchange Margins
7.6 The No-Arbitrage Forward Price
7.7 One Way Arbitrage
7.8 The Relationship Between Interest Rate Parity and One-Way Arbitrage
7.9 Options Forwards
7.10 Modification of Forward Contracts
7.11 Futures Markets
7.12 Hedging an Export Transaction
7.13 Hedging an Import Transaction
7.14 Creating Synthetic Investments
7.15 Borrowing Funds Abroad
7.16 Creating Synthetic Futures Contracts
7.17 Creating Synthetic Futures Contracts
7.18 Creating Synthetic Short-Term Interest Rate Contracts
7.19 Forward Covered Interest Arbitrage

8. Stock Index Futures

8.1 Price Weighted Indices
8.2 Value Weighted Indices
8.3 Equally Weighted Indices
8.4 Forming Portfolios to Mimic an Index
8.5 Portfolio Re-Balancing
8.6 Re-balancing an Equally Weighted Portfolio
8.7 Changing the Base Period Capitulation
8.8 Pricing of Index Futures
8.9 Cash and Carry Arbitrage
8.10 Reverse Cash and Carry Arbitrage
8.11 The No-Arbitrage Equation
8.12 Index Arbitrage and Programme Trading
8.13 Hedging with Index Futures
8.14 Market Timing with Index Futures
8.15 Using Index Futures to Change the Beta of a Portfolio
8.16 Stock Picking
8.17 Portfolio Insurance
8.18 Index Futures and Stock Market Volatility
8.19 Index Futures in India