6 9 0 20

D o n . C h a n c e , An Introduction to Options and Futures (For t Worth , TX: The Dryden Press, 1991). Rober t W. Kolb , Options: An Introduction ( M i a m i , FL: Kolb Publishing, 1991). Alan L. Tucker, Financial Futures, Options, and Swaps (St. Paul, M N : West Publishing, 1991). David A. Dubofsky, Options and Financial Futures ( N e w York: M c G r a w - H i l l , 1992). J o h n C. Hul l , Options, Futures, and Other Derivative Securities (Englewood Cliffs, NJ: Prent ice Hal l , 1993). H a n s R. StoU and Rober t E. Whaley, Futures and Op t ions (C inc inna t i , O H : South-Western Publ ishing, 1993).

12. :

Stuart . Turnbul l , Option Valuation (Toronto: Hol t , Rinehar t and Winston of Canada, 1987).

2 1

.

, .

.

, ,

.

. -

, .

,

(futures). , ( , ) , ( , ) , ( , ) , ( , ) ( , S&.P 500) , ,

( ) . (speculators) , .

,

, (hedgers) , . ,

.

21.1.1

, ,

$4 , . ,

- .

, $3 , . ,

6 9 2 21

0^11^

,

, . ,

:

1. 5000 2, 2, 2, 1 . ,

$4 . . , , , , ,

(short hedger). , ,

.

. ,

$4 . , , ,

. ,

$5 . , .

$4 , , . , ,

, , , (long hedger).

21.1.2

- ,

, ,

.

,

.

, , ,

(reversing trade), ,

, ,

, , $1 . , ,

$4 . , , $ 1 , , $5 , ( $1 $1.) , $1 , $5000, 5000 . , $1000 . .

, (500%) (25%). ,

,

693

, . 21 .1 , . (), 1848 . . 21 .1 .

,

.

, , -

. ,

.

2. , , ( $0,02 ) .

3 . . 4.

.

,

, ^ ( ) . ,

, , - .

. ,

$4 5000 , $20 .

. 21.1 .

.

( , ) , (5000 ) ( ) .

.

. 2 1 . 1 , , . ,

, .

open ; high low ; settle ( ) ( , ) , ( , ) . change .

.

- (open interest), . .

. ( 1995 ) . 21.1 ( ) ,

.

. 2 1 . 1 . () : The Wall S t r e e t Yournal, Dov Jones & Company, Inc. December 14, 1993, C. 14.

695

. ,

,

. ,

, .

.

- , , - -

. , .

. ( ) - - , . ,

( ,

(locals), ) . , , .

- ,

. ,

- , .

- ,

. , ,

, ( ) , , ,

,

.

21.3.1

. . ,

,

( , ) .

,

,

5000 ( ) iS" $4 , $20 . ( , , , ,

iS", , , .) , , iS" ,

iS" . , 5 iS" . iS" .

(5000 ) , ( , , S.) . 21.2 .

,

, .

, , $5 , 5' ? $25 (5000 $5) .

696 21

( ) $ 4 :

$ 2 0

5 0 0 0

( ) :

$ 2 0 $ 2 0

; ^ ^

5 0 0 0 5 0 0 0

. 2 1 . 2 .

$3 , $20 , $15 ($3 5000) . , ? , iS". $15 . iS" $20 , $5000. , 5 $5000, .

, ,

: (1) ; (2) ; (3) .

21.3.2 ,

.

(, ) . ,

. , ,

; {performance margin). 5 15% . " .

, $5000 $4 $20 (5000 $4). 5 % - $1000 (0,05 $20 ). -

$20 (5000 $4) , $5000. SB $5000, , , ,

iS".

6 9 7

( , ) . - .

,

. ,

$5 , $5000, $1000 .

.

21.3.3 ,

S - 5000 $4 . , $4,10 . 5" $500 $4 $4,10 , 5 $500 ($0,10 5000). , iS" $500, $500. $1000, iS" $500, $1500.

(marking to market). ,

,

, .

, , : (1) (2) . ( ) , .

,

(.. $4,10) $3 ,95 , $750 [5000 X ($4 ,10 - $3 ,95) ] , iS" $ 750 . $1500 $750, S $500 $1250.

21.3.4 - .

,

.

6 5 % , , 6 5 % . ,

.

( ) (variation margin). ( ) , .

, S, $4 . $ 1 . $4,10 , $20 500. , $1500, iS" $500. 6 5 % , 5 , S -

698 21

21.3.5 , , $4,15 . $0,20 , $3 ,95 . , , $4,15 - . ( , , 5 . ) .5 , ( ) . ( , . )

, .

5000 , . ? : , .

,

. ,

5 $2000, : (1) $1000; (2) $250; (3) $750 (5000 ($4,15 - $4)) . . 21.1 S.

: (1) ; (2) , .

, ,

, ' .

.

$4, 4 - $4,15 $0,15 . 5 $4, $4 ,25 , S , : 5 $4, $4,25 $0,25 .

, $650 (0,65 X $1000) . , , , ,

; $500. S ,

$500, $500 $1000, . . . 5 , S, S , $500, . 5 $1000, $500.

,

$3,95 . $750 SB $750 ( . . 21.1) . , $750, $1000. , S $750,

699

21.1

S

( . ) ( . ) ( . ) ( . ) ( . )

() : 1 4

1 0 0 0 1 0 0 0 1 0 0 0 1 0 0 0 2 4 , 1 0 + 5 0 0 1 5 0 0 - 5 0 0 5 0 0 3 3 , 9 5 - 7 5 0 7 5 0 + 7 5 0 1 2 5 0 4 4 , 1 5 + 1 0 0 0 1 7 5 0 - 1 0 0 0 2 5 0 () 1 4

1 0 0 0 1 0 0 0 1 0 0 0 1 0 0 0 2 4 , 1 0 : + 5 0 0 1 5 0 0 - 5 0 0 5 0 0

- 5 0 0 1 0 0 0 - -

- -

+ 5 0 0 1 0 0 0 3 3 , 9 5 : - 7 5 0 2 5 0 + 7 5 0 1 7 5 0

+ 7 5 0 1 0 0 0 - -

1 0 0 0

- -

- 7 5 0 1 0 0 0 4 4 , 1 5 : + 1 0 0 0 2 0 0 0 - 1 0 0 0 0

2 0 0 0 0 -

-

21.3.6 ,

. , .

, (long) , S, , . ,

(short) ,

, . ,

, ,

. , ,

, - ,

. ,

-

( , . 20).

21.3.7

,

- .

.

, ,

. -

700 2 1

,

. ,

,

.

21.3.8 , ,

, .

, .

() , .. () , ..

. . 21.1 , 13 1993 () 161 247 1994 .

.

. 21.3 . ,

- .

, ,

.

,

.

,

.

130

120

110

100

90

80

70

60

50

40

30

20

10

ilfijlffi iii I . Map. . .

. . . . .

. 2 1 . 3 . . 1 9 7 8 3 1 9 7 8 2 8 1 9 7 8

- 3 % - ' . -

701

,

, , (.. ) .

,

.

,

. ,

. ,

,

, .

21.3.9

, (Commodity Futures Trading Commission, CFTC), . ,

$4 $0,20, ,

$3,80 - $4,20. , $4 ,25 , : (1) , ; (2) $4,20; (3) $4,20 , $4 $4,40.

$4,20 , , , .

$4,20 ,

, ( , ,

) , .

, ,

,

, .

, ,

, .

$0,20 5000 $1000 ($0,20 5000). , ,

$1000. , ( ) , $1000. , , . ,

( ) .

( . ) (.. , ) (basis) :

= - . (21.1)

7 0 2 21

(.. ) , ( ) , , , ,

. ,

, ( ) .

21.4.1

, ,

$4 , 5000 . , - $4,30 , + $ 0 , 3 0 ($4 ,30 - $4 ,00) . , $0,10 + $ 0 , 4 0 $3,95 $4,35. ( , $0,10.) 5000 $500 ($0,10 X 5000 ) , ( $0,05) , ( $0,05) .

, $0,10 + $ 0 , 2 0 , $500 ($0 ,10 5000 ) . , : (1) $0,05 $4 ,05 , $250; (2) $0,05 $4,25, $250.

, $0,30 $3,70 $0,10 - $ 0 , 4 0 , $500 ($0 ,10 5000 ) . $0,10 - $0,20, $500. , , ,

, :

,

,

(.. , , ,

) , ( ) . , ( ) , :

,

, ,

(basis risk). ,

703

2 1 . 5

1950 1976 , 23 ,

*.

:

( %) ( %) 13,83 22,43 13,05 18,95

,

. , 1950 1976 , . ,

.

, . ,

- 0 , 2 4 :

( %) ( %) ( %) ( %) 100 22,43 13,83

20 80 17,43 13,67 40 60 13,77 13,52 60 40 12,68 13,36 80 20 14,74 13,21

100 18,95 13,05

,

. , 60% 4 0 % , .

-

. , ,

, {speculating on the basisy.

21.4.2

,

. , ,

, .

, .

,

, , .

,

.

, , , ,

, .

,

.

7 0 4 2 1

21.6

21.6.1

,

.

, ,

. - ,

( ) . , ,

. - ,

' . , ,

.

21.6.2

- ,

, ,

, . , ,

? , .

(expectations hypothesis):

, :

Pj. ; . ,

$4 , : , $4.

,

,

. . ,

, ^

, , , ^.

, ,

, . 1950 1976 . 23 , 0,58. ,

,

0,43. ( . . )

.

,

? ? .

705

-

. ,

. ,

^ ^,

.

,

-

. ,

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.

. 21.4 ; .

,

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, .

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:

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( ) ^.

{normal backwardation), , ,

. 21.4.

I

=

. 2 1 . 4 . ,

706 21

,

. , ,

, . ,

:

, ,

( ) ^.

(normal contango); , , . 21 .4" .

21.7

, .

? , ? - , , ,

? ' - .

:

,

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, .. ,

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,

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1848 -

.

( ) 1972 .

S&P 500 - 1981

.

. .

.

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2 3% ,

.

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.

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,

,

.

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.

1991 . - Goldman Sacks

.

. , ,

,

, ,

Goldman Sacks

. .

-

Goldman Sacks Commodiiies Index (GSCJ)

,

. (

,

.)

,

.

. ,

.

18 ,

,

( 50, 25 15%).

,

GSCI, , 70- .

1983 . 1987 .

7 0 8 21

GSCI

,

. /6.'155//5 ,

, GSC/ . 1970 . 1992 .:

( 41

OSCI

GSCI 14,8 18.3 1,00

11,5 16.2 -0,42

13.: 17.6 -0.27

9,0 1 \ ^ -0 .32

7.5 0.8 -0.20

6,0 1.4 0.26

GSCI , ,

.

GSCI -

eji. , , . -

napHi.ie . ,

1)11

. Goldman Sacks GSC/. -

: ..

.

.

,

.

- ,

,

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-

.

( -| .||), .

.

: ,

? GSC/ ,

. Goldman Sacks , . ,

-

(, (1 ),

'1 GSC! ( ).

? . -

1 ,

.

.

-

.

,

.

$2 ..

?

7 0 9

21.7.1

Honus Wagner 1910 ., , $100 , ( , ) . ( 1990 $451 .) , , . ,

. ,

.

21.7.2

? , ( , ) ( , ) . 4 % , $100 , 4% $104 . , $104 . $104 , $100 $4000, $100 4% . $104 , , $104 , $104 .

. F ( $100 )], / , ( $4000) . / ^ , :

P^ = P, + f. (21.2) ,

, , ,

, ,

21.7.3

. , 12

$1000, . ?

, ,

$100 , 12 $104 .

$1000 . , , $103 ,

. ,

, $103 , $100 , $4000 $1000 . , $103 , , , .

, , ? $1000 -

7 1 0 21

70- .

,

.

,

. ,

,

. ( , )

2% . , $1000 $1020 12 $102 980 ($100 + + $4000 - $1020) .

( ) ( $1020) . :

^ = ^+1-. (21.3) ,

, , ,

.

21.7.4

, $100? ? , , -

, .

,

. $102 980 $100 $103 080. ( $100) , :

^ = ^ + 1- + . (21.4)

(I + ) (cost of carry) , ,

, .

, .

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.

, ,

.

7 1 1

21.8.1

, , ,

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, .

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, (///) , 12 500 .

( ) ; . ,

. . 21 .1 , .

,

. , ,

.

, 13 1993 . , 50 . 1994 $0,009172 ( 109,03 ) , $458 600 ($0 ,009172 50 ). , , , ,

, $0,01 , $500 ($0,01 50 ). . 21.1 , 13 1993 $0,009240, $462 ($0,009240 50 ). ,

$0 ,000068

7 1 2 21

CURRENCY TRADING EXCHANGE RATES

Monday, December 13, 1993 The New York foreign exchange selling rates below apply to trading

among banks in amounts of $1 million and more, as quoted at 3 p.m. Eastern time by Bankers Trust Co., Telerate and other sources. Retail transactions provide fewer units of foreign currency per dollar.

u.s.$ Country . Argentina (Peso) 1.01 Australia (Dollarl 6715 Autrla (Schilling) 08329 Bahrain (Dinar) 2.6515 Belgium (Franc) 02796 Brazil (Cruzeiro real) 0039259 Britain (Pound) 1.4900

30-Day Forward 1.4866 90-Day Forward 1.4825 180-Day Forward 1.4775

Canada (Dollar) 7533 30-Day Fonward 7524 90-Day Fonward 7520 180-Day Forward 7510

Czech. Rep. (Kcruna)... Commercial rate 0343761

Chile (Peso) 002439 China (Renminbi) 172697 Colombia (Peso) 001473 Denmark (Krone) 1494 Ecuador (Sucre)

Floating rate 000515 Finland (Markka) 17374 France (Franc) 17116 30-Day Forward 17058 90-Day Forward 16978 180-Day Forward 16883

Germany (Mark) 30-Day Forward 90-Day Forward 180-Day Fonward

Greece (Drachma) 004084 Hong Kong (Dollar) 12948 Hungary (Forint) 0101999 India (Rupee) 03212 Indonesia (Rupiah) 0004755 Ireland (Punt) 1.4136 Israel (Shekel) 3376 Italy (Ural 0005917

.5857

.5839

.5817

.5790

equiv. FrI. t.01

.6715 .08384 2.6522 .02815

.0039790 1.4955 1.4924 1.4880 1.4826 .7524 .7519 .7511 .7500

.0342936 .002421 .172697 .001470

.1507

.000520 .17522 .17219 .17166 .17082 .16987 .5896 .5880 .5856 .5856

.004126 .12948

.0101802 .03212

.0004757 1.4231 .3448

.0005986

Currency per U.S. $

Mon. .99

t,4892 12.01 .3772 35.76

254.72 .6711 .6727 .6745 .6768

1.3275 1.3291 1.3297 1.3315

29.0900 410.03 5.7905 678.73 6.6956

1940.01 5.7556 5.8425 5.8623 5.8901 5.9230 1.7074 1.7125 t.7192 1.7192 244.85 7.7231

98.0400 31.13

2103.01 .7074

2.9625 1690.13

FrI. .99

t,4892 It.93 .3771 35.52

251.32 .6687 .6701 .6720 .6745

1.3291 1.3300 1.3314 1.3333

29.1600 413.00 5.7905 680.05 6.6339

1923.00 5.7070 5.8075 5.8253 5.8542 5.8870 1.6960 1.7006 1.7077 t.7077 242.35 7.7230

98.2300 31.13

2102.03 .7027

2.9000 1670.56

U.S.* Country Mon.

Japan (Yen) .009172 30-Day Fonward 009180 90-Day Forward 009200 180-Day Fonward 009242

Jordan (Dinar) 1 4577 Kuwait (Dinar) 3.3495 Lebanon (Pound) 000583 Malaysia (Ringgit) 3926 Malta (Ura) 2.5674 Mexico (Peso)

Roatingrate 3212335 Netherland (Guilder) 5229 New Zealand (Dollar) 5537 Norway (Krone) 1348 Pakistan (Rupee) 0334 Peru (New Sol) 4781 Philippines (Peso) 03643 Poland (Zloty) 00004993 Portugal (Escudo) 005714 Saudi Arabia (Riyal) 26661 Singapore (Dollar) 6272 Slovak Rep. (Koruna) 0305250 South Africa (Rand) Commercial rate 2969 Financial rate 2264

South Korea (Won) 0012358 Spain (Peseta) 007136 Sweden (Krona) 87 Switzerland (Franc) 6828 30-Day Fonward 6821 90-Day Forward 6812 180-Day Fonward 6810

Taiwan (Dollar) 037265 Thailand (Baht) 03937 Turkey (Ura) 0000721

equlv. FrI.

.009166

.009173

.009195

.009236 1.4556 3.3462

.000583 .3918

2.5445

.3222169 .5265 .5555 .1357 .0334 .4748

.03659 .00004993

.005772 .26665

.6258 .0303767

Currency per U.S. $ Mon.

109.03 108.94 108.69 108.20 .6860 .2986

1714.00 2.5474

.3895

3.1130 1.9125 1.8060 7.4161

29.96 2.09

27.45 20028.00

175.01 3.7508 1.5945

32.7600

FrI. 109.10 109.02 108.76 108.27 .6870 .2989

1716.00 2.5520

.3930

3.1035 1.8992 1.8002 7.3674

29.95 2.11

27.33 20028.00

173.25 3.7503 1.5980

32.9200

United Arab (Dirham).... Uruguay (New Peso)

Financial Venezuela (Bolivar)

Floating rate

SDR. ECU .

.2723

.229463

.00966

1.38994 1.12990

.2979 3.3683 3.3570

.2269 4.4175 4.4075 .0012356 809.20 809.30 .007210 140.14 138.70

.1199 8.4218 8.3384

.6873 1.4645 1.4550

.6867 1.4661 1.4563

.6858 1.4679 1.4581

.6857 1.4685 1.483 .037636 26.83 26.57

,03932 25.40 25.43 .0000722 13865.00 13850.00

.2723 3.6725 3.6725

.225937 4.36 4.43

.00976 103.50 102.49

1.38904 .71946 .71992 1.13690

Special Drawing Rights (SDR) are based on exchange rates lor the U.S., German, British. French and Japanese currencies. Source: International Monetary Fund.

European Currency unit (ECU) is based on a basket of community currencies.

. 2 1 . 5 .

: The Wall Street Journal, D o w J o n e s & C o m p a n y , I n c . , D e c e m b e r 1 4 , 1 9 9 3 , p. C 1 5 .

, ,

.

, ,

. ,

$0,009 ( 111,11 ) . (.. ) , $0,009240, .. 13 1993 , $0,009. "*. ,

$3000 ( ($0 ,009240 - $0,009) 12 500 )] .

7 1 3

$1(1 + % ^ ) = $1 + (21.5)

, (21.5) , :

Pf = Ps 1 + ) (21,6)

, $0,60, 4 5%, $0,5943 [$0,60 (1 ,04 /1 ,05 ) ] ,

(21.4) $0,0057 ($0,5943 -- $0,60). ( ) . {I ) $0,0057, . , ,

:

= ^

\+RG (21.7)

,

(interest-rateparity), , (21.4) .

, 1993 . .

.

.

,

, , .

, ,

.

, ,

,

.

,

, ,

,

.

,

.

, . ,

$1 R^^, $1 (1 + R^^). , $1 R^, F ( $ 1 / ) ( 1 + Rf;)Pj^ (^ / ' ^ ) . , , ($1) , :

7 1 4 21

.

(21.7) , , = I - , :

(21.86,

/ , , , $0,0229 ($0,60 4 /1 ,05) , , , $0,0286 ($0,60 05/1 ,05) . , , - $ 0 , 0 0 5 7 ($0,0229 - $0,0286).

(21.4) , , . ,

,

(21.7) , - . , ,

. ,

. ,

.

21.8.2

,

. ,

,

' ' .

,

. 9 0 - . , 2 1 , 1 , 13 1993 9 0 - ( 1994 ) $1 1994 96,48, , 1994 , , 3,52% ' ^ , 13 1993 9 0 - 1994 3 ,52%.

, ,

.

,

.

. 21.1 , 13 1993 . 9 0 - , 3,24% 1994 3,80% 1994 ( . 5), . ,

3,52% 9 0 - 1994 -

7 1 5

, 13 1993 . 1994 9 0 - 3 ,52%. 13 1993 90 - 3 ,06%, .

( , 9 0 - ) , ( , 10- ) ( , 20 - ) . . ( ) " .

, (21.4) . 9 0 - . ,

9 0 - . 9 0 - .

? ,

$95 ,24 , 5% ($0 ,476 /$95 ,24 ) . ( .) ,

3 % . , 9 0 - , $98,10 ($95 ,24 1,03). , $97, 1,85% $95,24. 3 % , ,

.

$98,10, $95,24 $100 $95,24 3 % $98,10 9 0 - , $100. $98,10 ( , $99) , , $95,24 ( , $96,12 ($99 /1 ,03 ) ) , 3 % $99. , ,

$95,24, 3 % .

$98,10, , .

^

/, (21.2) , () ( . R , ,

:

^ = ^(\ + ). (21.9)

7 1 6 21

21.8.3

. 21.1 . ,

: (1) (2) . ,

.

,

.

. ,

, .

,

, .

: (1) ; (2) ; (3) , .

1993 . .

Standard & Poors 500 {S&P 500). //225 ( ) {). -

[ - (NYFE)] Standard & Poors Midcap 400, . ( {Major Market Index), Dow Jones, ) " .

, Nikkei 225, $500; Nikkei - $5. , S&P 500, 400, $200 ($500 400) . , 420, $210 ($500 420) $10 ($210 - $200 ).

.

,

. . 21 .1 , 13 1993 S&P 500 66 732 .

,

, , :

= , (21.10)

5 . $2,86 ($95,24 0,03), $98,10 $95,24 $2,86.

7 1 7

S&P 500, ? , ,

.

, 500 ,

S&P 500. 500 ,

S&P 500, . ,

- ,

, " .

, .

, , .

-

. , ,

. - ,

. , -

( , ) , . -

( , ) , S&P 500 , .

, , -

,

. ,

, . - ,

, , ,

. -

, . -

( , ) , S&P 500, , , .

-

S&P 500 .

, S& 500 .

S&P 500 466 ,50 , $15 . (66 732 466,50 $500) . , -

1993 . $9,0 . , S&P 13 1993 . .

S&P 500 .

7 1 8 21

,

S&P 500 - . ,

, . -

, .

, -

, S&P 5(9(9 , ^cfeP 5(9(9 , . , -

, .

,

,

. ,

.

,

.

, ,

, .

, , ,

.

?

. , ,

. , S&P 5(9(9 100, S&P 5(9(9 . .

1. , S&P 500, S&P 500.

2. S&P 500 w .

.

$100 ( ) . : (1) , S&P 500 ; (2) , . S&P 500 ^ , 3 % . , , ^ + $3 [.. Pj + (0,03 X

, $100 .

,

$100, .. , . : (1) S&P 500 $100; (2) , . , 5%. , , , ^ - $5 [.. {, - $100) + (1 ,05 X $100) ] .

7 1 9

.

, :

S&P 500 {^). ,

(index arbitragey.

.

? , ( , ^+ $3 > ^- $5). , , , -

, S&P 500, . ,

. ,

S&P 500 . ( , . )

, $100 ,

$100, . , ,

.

, , , ,

.

,

. - , , S&P 500, $100 $110, S&P 500. $10 . - ,

$3 (0 ,03 $100) . -, $5 (0,05 $100) , ,

$100 , .

$8 ($10 + $3 - $5) . , , . S&P 500. , ,

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PROGRAM TRADING N E W Y O R K - P r o g r a m t r a d i n g i n t h e w e e k e n d e d D e c . 1 0 a c c o u n t e d f o r 7 . 1 % , o r a n a v e r a g e

2 0 . 1 m i l l i o n d a i l y s h a r e s , o f N e w Y o r k S t o c k E x c h a n g e v o l u m e . B r o k e r a g e f i r m s e x e c u t e d a n a d d i t i o n a l 1 5 , 1 m i l l i o n d a i l y s h a r e s p r o g r a m t r a d i n g a w a y f r o m

t h e B i g B o a r d , m o s t l y o n f o r e i g n m a r k e t s . P r o g r a m t r a d i n g i s t h e s i m u l t a n e o u s p u r c h a s e o r s a l e n f a t l e a s t 1 5 d i f f e r e n t s t o c k s w i t h a t o t a l v a l u e o f $ 1 m i l l i o n o r m o r e .

O f t h e p r o g r a m t o t a l o n t h e B i n B o a r d , 2 2 , 5 % i n v o l v e d s t o c k - i n d e x a r b i t r a g e , u p f r o m 1 9 % t h e p r i o r w e e k . In t h i s s t r a t e g y , t r a d e r s d a r t b e t w e e n s t o c k s a n d s t o c k - i n d e x o p t i o n s a n d f u t u r e s t o c a p t u r e f l e e t i n g p r i c e d i f f e r e n c e s .

S o m e 5 1 . 7 % o f p r o g r a m t r a d i n g w a s e x e c u t e d b y f i r m s f o r t h e i r c u s t o m e r s , w h i l e 3 5 , 3 % w a s f o r t h e i r o w n a c c o u n t s o r p r i n c i p a l t r a d i n g . A n a d d i t i o n a l 1 3 % w a s d e s i g n a t e d a s c u s t o m e r f a c i l i t a l i o n . w h e r e f i r m s u s e p r i n c i p a l p o s i t i o n s t o f a c i l i t a t e c u s t o m e r t r a d e s .

O f t h e f i v e m o s t - a c t i v e f i r m s , N o m u r a S e c u r i t i e s e x e c u t e d m o s t o f i t s p r o g r a m t r a d i n g f o r i t s o w n a c c o u n t s , w h i l e M o r g a n S t a n l e y , B e a r S t e a r n s , F i r s t B o s t o n a n d S a l o m o n B r o t h e r s d i d m o s t o f t h e i r p r o g r a m t r a d i n g f o r t h e i r c u s t o m e r s ,

N Y S E P R O G R A M T R A D I N G V o l u m e ( i n m i l l i g n s o ^ s h a r e g ) f o f g ^ h e w e e k e n d i n g

I n d e x D e r i v a t i v e - O t h e r Top 1 5 F i r m s A r b i t r a g e R e l a t e d - S t r a t e g i e s T o t a l

M o r g a n S t a n l e y 0 , 5 1 2 , 0 1 2 , 5 C S F i r s t B o s t o n 0 , 4 1 2 , 1 1 2 , 5 S a l o m o n B r o s . 0 , 4 ' 0 , 3 1 0 , 9 1 1 . 6 B e a r S t e a r n s , , , , 0 , 6 6 , 9 7 . 5 N o m u r a S e c u r i t i e s 4 , 2 2 , 6 6 , 8 C o o p e r N e f f 4 , 5 0 , 7 5 , 2 S u s q u e h a n n a ' 4 , 1 ' , , , . 0 , 5 4 , 6 N i k k o S e c u r i t i e s 4 , 4 4 , 4 U B S S e c u r i t i e s ' 3 , 3 ' , , , , 1,1 4 , 4 D a i w a S e c u r i t i e s 2 , 1 , , , t , 7 3 . 8 L e h m a n B r o t h e r s 1 ,1 2 . 6 3 , 7 W & D S e c u r i t i e s 0 , 3 ' 3 , 4 3 . 7 G o l d m a n S a c h s 0 , 2 ' 2 , 9 3 , 1 T h o m a s W i l l i a m s 2 , 6 ' 0 , 1 2 , 7 M e r r i l l L y n c h 2 , 7 2 , 7 O V E R A L L T O T A L 2 2 . 6 8 , 2 6 9 . 7 1 0 0 , 5 O t h e r d e r i v a t i v e - r e l a t e d s t r a t e g i e s b e s i d e s i n d e x a r b i t r a g e

S o u r c e : N e w Y o r k S t o c k E x c h a n g e

. 2 1 . 6 .

: Wall Street Journal, D o w J o n e s & C o m p a n y , I n c . , D e c e o i b e r 1 7 , 1 9 9 3 , p. C 1 6 .

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FUTURES OPTIONS PRICES

Monday, December 13, 1993.

AGRICULTURAL CORN (CBT)

5,000 bu.; cents perbu. Strike Calls-Settle Puts-Settle Price Mar May Jly Mar May Jly 280 14' 18'/, 21 3 5 V , 8 290 67, 137, 167< 77, 10 137, 306 4V, 9Vj 12 137, 15V, 187. 310 27, 67 , 97 , 217 , . . . . 257, 320 17, 47 , 67, 3 3 330 1 3 5 397, Est vol 6,000 Fri 4,258 calls 1,793 puts OpintFrl 69,990 calls 47,194 puts SOYBEANS (CBT)

5,000 bu.; cents perbu. Strike Calls-Settle Puts-Settle Price Jan Mar May Jan Mar May 625 507, 59 627, 7, 17, 3 650 247, 377, 43'/, 7, 57, 87, 675 5 227, 297, 47, 15 20 700 7 . 137, 20 247, 307, 357, 725 7 . 77 , 137. 497. 507. 537. 750 7. 47 . 97, 747. 727, . . . . Est vol 12,000 Fri 5,906 calls 2,599 puts OpintFrl 90,710 calls 57,592 puts

OIL CRUDE OIL (NYM)

1,000 bbis,;$ per bbi. Strike Calls-Settle Puts-Settle Price Feb Mar Apr Feb Mar Apr 1300 1.16 13 .20 .23 1400 .81 1.58 1.88 .20 .27 .38 1500 .54 1.24 1.14 .30 .36 . . . . 1550 .34 .93 45 .51 .63 1600 .19 .64 .67 70 . . . . 1650 .12 .46 91 1.16 Est vol 21,196 Fri 14,916 calls 12,680 puts Op int Fri 147,148 calls 168,948 puts

METALS COPPER (CMX)

25,000 lbs.; cents per lb. Strike Calls-Settle Puts-Settle Price Feb Mar May Feb Mar May 76 4.90 5.15 6.15 0.40 0.75 1.25 78 3.20 3.65 4.60 0.75 1.20 1.85 80 2.10 2.50 3.50 1.60 2.00 2.70 82 1.20 1.60 2.60 2.50 3.00 3.80 84 0.80 1.05 1.90 3.95 4.45 5.00 86 0.35 0.70 1.35 5.60 6.10 6.45 Est vol 1,300 Fri 1,723 calls 120 puts Op int Fri 15,460 calls 6,055 puts GOLD (CMX)

100 troy ounces; $ per troy ounce Strike Calls-Settle Puts-Settle Price Feb Mar Apr Feb Mar Apr 370 20.0023.4024.80 1.40 3.30 4.80 380 12.6016.2018.10 4.00 6.00 8.00 390 7.0010.6013.00 8.4010.20 12.70 400 4.00 7.00 9,5015.4016.50 19.00

EURODOLLAR (CME) $ million; pts. of 100%

Strike Calls-Settle Puts-Settle Price Dec Mar Jun Dec Mar Jun 9600 0.62 0,48 0.28.0004 0.03 0.17 9625 0.37 0.27 0.14.0004 0.07 0.28 9650 0.12 0.10 0.06.0004 0.15 0.44 9675 .0004 0.02 0.02 0.13 0.32 0.65 9700 .0004.0004.0004 0.38 0.55 0.89 9725 .0004.0004.0004 0.63 0.80 1.14 Est. vol. 36,786; Fri vol. 32,110 calls; 75,109 puts Op. int. Fri 760,038 calls; 1,121,411 puts

410 2.20 4.70 7.0023.6024.00 26.40 420 1.20 3,00 5.2032,5032.40 34.60

Est vol 9,500 Mon 2,738 calls 1,093 puts Op int Mon SILVER (CMX) 5,000 troy ounces; cts per troy ounce

Strike Calls-Settle Puts-Settle Price Feb Mar May Feb Mar May 475 46.0 52.7 62.0 5.0 11.2 17.7 500 29.0 37.0 48.2 12.6 20,5 28,7 525 17.2 25.0 37.0 25.7 33.5 42.2 550 10.0 17.5 29.0 43.0 49.8 59.0 575 5.8 12.0 22.6 63.5 68.5 77.2 600 3.2 8.2 17.5 86.0 89.7 96.0 Est vol 5,300 Fri 3,152 calls 1,279 puts Op int Fri 40,114 calls 19,259 puts

TREASURY BILLS (CME) INDEX

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