Futures Ve Opsiyon Piyasaları Ve Türkiye'de Uygulanabilirliği

Abstract

Futures ve Opsiyon piyasaları 150 yılı aşkın bir süredir A.B.D.'nde işlerliğini sürdürmektedir. Gelişmekte olan ülkelerin tümünde meydana gelen hızlı fiyat değişiklikleri hem üreticileri hem de bu ürünleri salın alan kişileri zor durumlarda bırakmaktadır. Değişen ekonomik ve sosyal şartlar ülkeleri farklı finansal araçlara yöneltmiştir. İşte Futures ve Opsiyon piyasaları bu araçların en önemlilerini teşkil etmektedirler. Ülkemizde de değişen ekonomik koşullar ve hızlı fiyat artışları nedeniyle vadeli işlemlerin yer aldığı borsaların kurulması gündeme gelmiş ve yapılan çeşitli araştırmaların bir sonucu olarak İzmir'de bir Pamuk Futures Borsası kurulması konusunda çalışmalara başlanmıştır. Bu tezde Türkiye'de şimdiye kadar bu tür borsaların kurulamama nedenlerinden, niçin pamuk ürününün tercih edildiğinden ve hangi ürünler için yeni vadeli işlemler borsası kurulabileceğinden bahsedilmektedir.

Forward trading has grown out of a need that has been felt for centuries. With the passage of time and the development of a more complex society, futures markets has emerged as a special kind of forward contracting. With their special charactersitics of organized exchanges, clearinghouses, financial safeguards, and standardized contracts, futures markets represent a kind of highly specialized forward trading begun in the middle of the nineteenth century and bruoght into fruition over the last quarter century. Futures markets depend on well-developed financial markets and on the existence of widely available homogeneous commodities. The availability of standard commodities depends, in turn, on a sophisticated economic infrastructure, with the key element being an integrated transportation system. Futures markets, almost by their very nature, serve a geographically dispersed group of participants. This means mat futures markets also depend on the ezistence of an eloborate communications system. With these facts in mind, it is clear thet futures markets could not really have developed before they did, when telegraphic communication and a suitable financial environment were coming into existence. Their growth, which has recently accelerated, makes futures markets an important economic phenomenon, and one well worth studying. With greater integration of markets, these futures spreads are becoming more common and presenting a greater challenge to clearinghouses' abilities to assess risk. Currently, efforts to consider the risk of the trader's entire portfolio have led to SPAN margin system and the development of intermarket cross-margining. The floor broker, futures commision merchant, and introducing broker all play related but specialized roles. The function of the account executive and introducing broker often overlap with the roll of the commodity trading advisor. While futures markets have a reputation for high risk and wild price swings, we can not deny mat prices vary suddenly and sharply in the futures market, but it is quite possible that these price movements accuretly reflect the arrival of new information at the market. Further, it is also apparent that futures prices observe the economic laws eloborated above. Both the Cost-of-Carry Modeland the expected futures price fhnework provide rational procedures for thinking about the behaviour of futures prices. It must also be admitted that futures prices, on the whole, conform to these theories. If the conclusions reached about futures pricing above are correct, then a picture of the usefulness of the markets begins to emerge. If prices react rationally to new information, and if spread relationships are strongly interconnected, and if futures prices are good estimates of expected future spot prices, it is possible to understand the uses that can be made of the market by differnt elemnts of society. These different groups of society were identified above as those who wish to discover price information by observing futures markets, as speculators, and as hedgers. If futures prices closely approximate expected future spot prices, the the price discovery function is well served. Speculators, on the other hand, will have a difficult life, because profitable opportunities will not be abundent. Hedgers, for their part, have an apperent opportunity to reduce their risk exposure with relatively little cost. If futures prices provide a good guide to future spot prices, then futures markets reveal price information that helps society to allocate capital more efficiently. The futures market attracts speculators - traders who enter the futures market in pursuit of profit-, willingly increasing their risks to do so. We classified speculators according to the lenght of time they planned to hold a futures position as; scalpers, day traders, and position traders. Commodity funds have become important speculative trading instrumentss in recent years. This was an effort to take into consideration the investment of funds and time that are necessary to speculate as a scalper or other floor trader. Hedging is one of the most important social functions of futures markets. A hedger is a trader who enters the futures market in an effort to reduce a pre-existing risk. Except for providing liquidity, hedgers needed speculative position traders only to absorbe an imbalance between long and short hedgers. Much hedging activity involves an imperfect match between the characteristics of the asset being hedged and the asset underlying a futures contract. The important conclusion of the analysis is that futures prices are rational; they clearly conform to the underlying economic realities specific to the characteristics of the deliverable goods. This is true for goods with quite varied storage and production characteristics, whether they be gold, wheat, soybeans, or cattle. This rationality of futures prices has two very important implications. First, it indicates that participants in the futures markets for these commodities know the underlying goods and the factors that determine their prices. Second, it implies that potential speculators in futures contracts must be prepared to pit their knowledge of these goods against the collected wisdom of the other futures traders, as represented in the market-determined futures prices. One may still believe, and after all it may be true, that with so many diverse commodities, there must be opprtunities for speculative profits for the discerning trader. IV In the stock exchange chapter reviewed a wide range of issues related to stock index futures. The efficiency of the stock market index futures markets, the effect of taxes on stock index futures prices, the influence of seasonal factors on prices, and leads and lags between the futures market and the stock market. Using stock exchange futures, traders holding riskless bonds can simulate full investment in equities. Similarly, a trader fully invested in equities can use stock index futures to make the combined stock/futures portfolio behave Kke a riskless bond. Also in tis survey, focused on the connection between stock index futures and stock market volatility. The main arguments for a connection rely on order imbalances that might be caused by index arbitrage or portfolio insurance. Although futures do not appear to be responsible for the price changes, the events have been important in changing the institutional arangements in the futures market. Foreign currencies are traded in both a highly active forward market and a futures market. The foreign exchange market is the only one in which a successful futures market has grown up in the face of robust forward market. The forward market for foreign exchange has existed for a long time, but the foreign exchange futures market developed only in the early 1970s, with tarding beginning on May 16, 1972 on the International Monetary Market (IMM) of the Chicago Merchantile Exchange (CMS). Without doubt, the presence of such a strong and successful forward market retarded the development of a futures market for foreign exchange. This dual market system means that the futures market cannot be understood in isolation from the forward market. The conceptual bond arises both from the similarity of the two markets and from the fact that the forward market continuos to be much larger than the futures market. Because many traders are active in both markets, familiar Cash-and-Carry and reverse Cash-and-Carry strategies ensure that the proper price relationships between the two markets are maintained. Because of this similarity, specific price relationships must hold between the two markets to prevent arbitrage opprtunities. While any observer might be more impressed by the similarities in the two markets, the forward and the futures markete differ in several key respects. Particularly important are the differences in the cash flow patterns (due to dairy resettlement in the futures market) and the different structures of the contracts with respect to their maturities. Because foreign exchange rates represent the price of one unit of money in terms of another unit of money, every foreign exchange rate is clearly a relative price. With modern money being a creation of governments, government intervention in the foreign exchange market is more dominant then in most other markets. Governments attempt to establish exchange rate system that either fix the value of a currency in terms of another currency, or allow the value of currencies to float. Even when the value of a currency is allowed to float, governments often intervene to manage the value of their currency. As with all futures markets, the foreign currency futures market has numerous hedging applications. In transaction exposure, a trader actualllyfaces the exchange of one currency for another and wishes to hedge the future commitment of funds. In translation exposure, funds receive in one currency will be restated for accounting purposes in another currency. Because it concerns only accounting, translation exposure need not require the actual exchange of one currency for another, nonetheless, firms can hedge translation exposure to avoid the volatility of reported earnings in the home currency. It will be note some difficulties in applying the simplest form of the Cost-of- Carry relationship to interest rate futures, particularly to the T-Bond futures contract. The breakdown of the arbitrage conditions gives expectations of future interest rates a role in the determination of interest rate futures prices. If interest rate futures prices are not determined by strict Cost-of-Carry relationships, there may be ample reward to variousspeculative strategies. Interest rate futures constitute one of the most exciting and complex financial markets. Only in recent years have the uses of the market begun to mature and there remain many potential users who could benefit from the market. Interest rate futures have many applications, including bond portfolio management. Interest rate futures can also be used to control foreign interest rate risk, to manage public utilities and insurance companies, to hedge mortgage financing risk, and to reduce risk in creative financing arangments. Other uses abound and are just starting to be explored. It will be considered that, some speculative trading strategies that use intra- commodity and inter-commodity spreads. In addition to speculative applications, stock mdex futures are useful for managing risk. As the name implies, an option is the right to buy or sell for a limited time a particular good at a specified price. Such options have obvious value. For example, if IBM trades at $120 and an investor has the option to buy a share at $100, this option must be worth at least $20, the diffemce between the price at which you can buy IBM by exercising the option ($100) and the price at which you could sell it in the open market $120). Prior to 1973, options of various kinds were traded over the counter. But in 1973, the Chicago Board Options Exchange (CBOE) began trading options on individual stocks. Since that time the options markets have experienced rapid growth, with the creation of new exchanges and many different kinds of new option conontracts. There are two major classes of options. Ownership of a call option gives the owner the right to buy a particular good at a certain price, with that right lasting until a particular date. Ownership of a put option gives the owner the right to sell a particular good at a certain price, with that right lasting until a particular date. For every option, there is both a buyer and a seller. In the case of the call option, the seller receives a payment from the buyer and gives to the buyer the option of buying a particular good from the seller at a certain price, with that right lasting until a particular date. Similarly, the seller of a put option receives a payment from the buyer. The buyer then has the right to sell a particular good to the seller at a certain price for a specified period of time. XI There is a great deal of special terminology associated with the options market. The seller of an option is also known as the miter of an option, and the act of selling an option is called writing of option. The buyer of an option may require certain performances by the writer of an option. In the case of a call option, the owner has the right to buy a given good under certain circumstances. If the owner of the call takes advantage of the option, he/she said to "exercise ike option*'. An owner exercises a call option by buying a good under the terms of an option contract. Each option contract stipulates a price that will be paid if the option is exercised, and this price is known as the exercise price or the striking price. Every option involves a payment from the buyer to the seller. This payment is the price of the option, but it is also called the option premium. Options are useful financial instruments for both speculation and hedging. For example, an investor expecting a stock price to increase can profit from being correct by buying a call option or selling a put option on mat stock. Further, by speculating with options, it is possible to achieve more leverage than by merely trading the stock itself. Options are usefull for controlling risk as well, because the careful combination of options and positions in the underlying good can give virtually any degree of risk mat is desired. Further, combinations of options themselves widen the range of payoff possibilities, available to the investor. Innovation may have slowed after the financial tumult of the 80s, but the period of innovation is not yet over. Participants in the financial markete must learn the deal with yet another fundamentally different kind of instrument-an option written on a futures contract. To further complicate matters, for many instruments there are options on the instruments themselves as well as options on the futures on the same instruments. In analyzing the relationhip between options on futures and options on physicals, for European call options, the value of the option on the physical and the option on the future must be the same. This conclusion holds for puts as well. For American options on underlying assets with no cash flows, the futures call option must be worm more than the call on the physical. Conversely, the futures put option must be worth less than the put on the physical. When the underlying assets generate cash throw-offs, such as the dividents on a stock or the interest rate on a foreign currency, the analysis becomes more complex. We considered an underlying asset with a continuous cash throw-off, which we call a divident. This spesification is realistic for a foreign currency and a good approximation for a stock index. If the interest rate exceeds the divident rate, the futures call option will be worth more than a call on the physical, and the futures put option will be worth less than a put on the physical. If the divident rate equals the interest rate, the futures call and the call on the physicalwill be worth the same, as is true for the put. Finally, if the divident rate exceeds the interest rate, the call option on the futures. Similarly, when the divident rate exceeds the interest rate, the put option on the futures will be worth more than the put option on physicals. XII Just as there is put-call parity relationship for options on physicals, there is a put-call parity relationship for options on futures. In essence, a long futures caII\short futures puts simulates a long position in the futures. The futures options portfolio of a long call and short put has the same payoffs as a futures contract at expiration. Thus, the long futures call and short futures put creates a synthetic futures contract. This observation led to a general discussion of synthetic instruments. In our country, with the changings of economical conditions and rapidly increasing prices, it was thought that the new futures merchantile exchange, and researchs show that it can be establish in Izmir on cotton, Izmir Cotton Merchantile Exchange. In this survey, why do not establish the Futures and Options Markets in our country, which features affect the choosing Cotton and which products or grains may have a chance for establishing as a new merchantile exchange in Turkey. The reasons that below mentioned, of why the derivative markets do not establish in our country, a) The deficiency of legal frame, b) Unknowing methods of accounting, c) Tax regulations, d) Undevelopment of the TL derivative instruments except forward, e) A point of view of Risk Management, f) An avoid to pay for safing risk, g) Hesitating of using derivative instruments because of the lack of information, h) Because of the Company Managers, are accepting the Financial Price Risk as a external factor.