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

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.

名词解释

Cover:平仓。将开立的头寸清算出局。

Volume:交易量。

Open Interest:未平仓合约，也译作持仓兴趣。在买卖 期指合约及期权合约时，买卖双方之合约均会被计人未平 仓合约数量内。而买卖完成后，投资者可等待原先的合约 到期时，或者利用一张与之前相反策略的合约来结束责任， 我们称之为平仓活动。

无论投资者选择以第一种方法或第二种方法，未平仓 合约之数量仍不会改变，除非投资者并不想利用第二张合约作平仓之用，而新开另一张合约。在这种情况之下，未 平仓合约便会增加至四张。由于在期货交易所中交易之合 约会受到交易所之保障，买卖双方在新开合约时便要存入 一笔保证金，以确保责任得以履行，所以当投资者持有未 平仓之数量愈大时，他所需要支付的保证金会愈高，而成 本亦会高。所以，若他相信后市与之前所预测的不同时， 便会进行平仓。