《外汇交易实战图表与交易心理》 作 者：(新加坡)许强 (美国)Gary Weiss

Still, and assuming an implied significance beyond its physical size, the key question remains as to what elements of futures markets can be viewed as being significant. Given, that the futures markets are regulated, there is a great deal of verifiable data available with regard to volumes, ranges, and open interest, that would be difficult to duplicate within the cash maricets. In terms of volume, this is a fairly simplistic concept which generally goes to the point that volume tends to follow price, thus often times being useful only as a coincident indicator of trend. Open interest on the other hand may in fact be a more useful indicator. The concept of open interest is that it gauges the outstanding amount of contracts that are open and pending between two parties to a futures contract at any given time. The usefulness of this measurement, therefore, is that it can essentially indicate the direction that new participants in the market are viewing the price, or trend of the market price to be heading. For example, if one is to assume that open interest only increases when new market participants enter the market in greater amounts than existing market participants exit the market, then the logical inference is to look for increasing open interest to correspond to a significant movement in price. The combination of these two occurrences will lead to the conclusion that the trend for further price movements in the same direction would look strong. The corresponding inverse assumption would be the case for a decrease of open interest that might correspond to a significant price movement. In this case, one might conclude that there is a decrease of interest at the particular price level and that a continued directional movement is probably limited. Still, as one might probably infer, this is less than an exact science.

The reason for this is because of the very idea of futures in general, meaning that unlike the securities markets, the futures market dictates that for every long buyer there must be a short seller. On a conceptual level, therefore, it can be argued that open interest represents an equal number of people thinking that a market will go higher, or lower at any given time. Which, for many has lead to the conclusion, that technical indicators not withstanding, the only value for volume and open interest figures, is to gauge the depth liquidity of a particular market, as opposed to its future direction. While on an empirical level this of course is true, it is also worth noting that many traders still pay attention to the movement of open interest as a future directional indicator. Whether movements in open interest are themselves indicative, therefore, is somewhat less the point because as people tend to watch it for this purpose, the idea itself becomes self fulfilling.

Still, another element of the futures market that is worth exploring is the idea of the basis price differential between the underlying currency and its futures equivalent. Although discussed previously, in terms of the actual derivation of price and its relationship, there is in fact a correlation component that can be looked at as predictive in nature. Again, not an exact science but more of an anecdotal reference, the gap in price between cash and futures prices should, all things being equal, trade on an interest rate accrual level and remain equivalent with a slope towards convergence over a period of time. When thisrelationshipdeviates，oftenitisasignofbiastowardsei ther the cash or the futures market. Looking at the directional skew, in this regard, can be particularly instructive. For exampie, if one were to view the cash price of British pound Sterling at an assumed rate of 1.9140, a one month rate at 1.9100, and the near delivery futures contract at 1.9120 (assuming 15 days to delivery value date on the futures exchange) the relationship can be assumed as equitably distributed, allowing for a systematic cost of carry throughout the known time horizon. If however, the differential in the gaps skew wider, at any point, this would represent a variable risk now suggested within the pricing framework. In this regard, assume that the next day, spot sterling trades at 1.9160, while the 30 forward price trades only to 1.9115. And the near dated futures contract trades at 1.9135.Notice in the two forward dates (the cash 30 day and the nearby futures contract) the gap, or basis difference has widened. The futures price now has effectively risen against the implied underlying, which is suggestive of a possible movement higher in interest rates at some point in the near term. This in turn, is then suggestive of higher prices for Sterling overall. The same of course, can be true for narrowing of the basis in either Sterling or other currencies; movement in the basis differential, as opposed to outright price, can often be viewed as predictive in nature.

As a central premise, the idea of futures being price pre dictive is still a much debated concept. Scores of research and analysis has been done to prove (or disprove, as the case may be) the validity of this idea in even the most abstract of ways. However, as a user of both cash and futures markets over the years, the two issues that I have touched upon seem to be the most reasonable. Clearly however, taking the optimum advantage of some of the infonnation and data points that are available within the futures markets can often be a complex task. It involves cataloguing large amounts of data for comparison purposes, and having available the modeling functions to take ad vantage of this data. Not surprisingly, most traders, outside of hedge funds or larger institutions, often do not have the wherewithal, or resources to undertake this type of analysis. However, some of the points that have been mentioned, are fairly basic, and require little more than a fundamental review on a daily basis. Essentially, to gain value from the futures markets predictive nature (which again is more anecdotal than empirical) merely requires the observation of two critical areas 1) open interest changes, particularly when they occur simultaneous with large price and volume movements and, 2) the monitoring of changes in the relative relationship of basis between cash and futures prices.