Program buying and selling (转载)# Stock
m*3
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【 以下文字转载自 Stock_teacher2 俱乐部 】
发信人: muyong2013 (mumu), 信区: Stock_teacher2
标 题: Program buying and selling
发信站: BBS 未名空间站 (Thu May 14 09:07:15 2015, 美东)
还是从TA of Financial Market这本书上看到的：
大意就是S&P 500 future的波动通过program buying or selling来影响S&P 500 cash
index来保持两边一致，但是future的突然波动往往是其他future比如bonds future的
变动影响的，这就解释了为什么bond跌会导致股市也跟着跌。
Nowhere is the close link between stocks and futures more obvious than in
the relationship between the S&P 500 cash index and the S&P 500 futures
contract. Normally, the futures contract trades at a premium to the cash
index. The size of that premium is determined by such things as the level of
short term interest rates, the yield on the S&P 500 index itself, and the
number of days until the futures contract expires. The premium (or spread)
between S&P 500 futures over the cash index diminishes as the futures
contract approaches expiration. Each day, institutions calculate what the
actual premium should be – called fair value. That fair value remains
constant throughout the trading day, but changes gradually with each new day
. When the futures premium moves above its fair value to the cash index by
some predetermined amount, an arbitrage trade is automatically activated –
called program buying. When the futures are too high relative to the cash
index, program traders sell the futures contract and buy a basket of stocks
in the S&P 500 to bring the two entities back into line. The result of
program buying is positive for the stock market since it pushes the S&P 500
cash index higher. Program selling is just the opposite …. Most traders
understand this relationship between the two related markets. What they don
’t always understand is that the sudden moves in the S&P 500 futures
contract, which activate the program trading , are often caused by sudden
moves in other futures markets – like bonds.
发信人: muyong2013 (mumu), 信区: Stock_teacher2
标 题: Program buying and selling
发信站: BBS 未名空间站 (Thu May 14 09:07:15 2015, 美东)
还是从TA of Financial Market这本书上看到的：
大意就是S&P 500 future的波动通过program buying or selling来影响S&P 500 cash
index来保持两边一致，但是future的突然波动往往是其他future比如bonds future的
变动影响的，这就解释了为什么bond跌会导致股市也跟着跌。
Nowhere is the close link between stocks and futures more obvious than in
the relationship between the S&P 500 cash index and the S&P 500 futures
contract. Normally, the futures contract trades at a premium to the cash
index. The size of that premium is determined by such things as the level of
short term interest rates, the yield on the S&P 500 index itself, and the
number of days until the futures contract expires. The premium (or spread)
between S&P 500 futures over the cash index diminishes as the futures
contract approaches expiration. Each day, institutions calculate what the
actual premium should be – called fair value. That fair value remains
constant throughout the trading day, but changes gradually with each new day
. When the futures premium moves above its fair value to the cash index by
some predetermined amount, an arbitrage trade is automatically activated –
called program buying. When the futures are too high relative to the cash
index, program traders sell the futures contract and buy a basket of stocks
in the S&P 500 to bring the two entities back into line. The result of
program buying is positive for the stock market since it pushes the S&P 500
cash index higher. Program selling is just the opposite …. Most traders
understand this relationship between the two related markets. What they don
’t always understand is that the sudden moves in the S&P 500 futures
contract, which activate the program trading , are often caused by sudden
moves in other futures markets – like bonds.