Investors who already hold stocks, such as securities investment funds or institutions with heavy stocks, cannot sell stocks for various reasons when they are uncertain about the future stock market trend or predict that the stock price will fall. In order to avoid losses caused by falling stock prices, they need to sell stock index futures contracts for risk hedging. Especially when the stock price falls from a high level, ordinary investors may be reluctant to give up cutting their meat and leave, or investors may not know whether this decline is the beginning of a bear market or just a short-term correction. At this time, you can lock the market value of the stock in part or in whole by short selling the stock index futures, and then choose whether to sell the stock after the market outlook is clear. In this way, once the stock market really falls, investors can make a profit by selling stock index futures contracts in the futures market to make up for the losses in the stock spot market. On the contrary, if the stock price rises during the stock selling operation, the selling income of the stock portfolio will increase, but the futures trading will produce losses, thus offsetting the increased income of the stock, so that the actual selling income of the stock portfolio is still at the beginning level. This practice is called "sell hedging".
In the following cases, it can generally be considered that the selling hedging strategy should be used:
1. Generally, institutional investors will put a large proportion of their funds into stocks and buy several or even dozens of stocks for combination. Once the general trend of the stock market is bad, it is difficult for the stocks in hand to sell satisfactory prices in a short time because of heavy positions. In order to avoid the risks brought by the decline in stock portfolio prices, institutional investors can lock in the current income of spot stock portfolio assets by selling a certain number of stock index futures contracts.
2. If the fund pays dividends or pension annuity, some stock positions will be realized in the future, and the realized part can be hedged with stock index futures to lock in the realized value.
3. The strategic adjustment of asset allocation by institutions or funds will have a great impact on the market, and the risk of position adjustment will be hedged through stock index futures.
4. When the fund is forced to close its position in response to large-scale redemption, resulting in net loss and market decline, stock index futures can be used for hedging to smooth the net value and reduce the adverse effects of redemption, thus reducing the redemption amount.
5. Non-tradable shareholders or other restricted shareholders are expected to reduce their holdings in the secondary market. In order to prevent the market from being poor when the lifting of the ban is realized in the future, they can sell the future positions stock index of corresponding size and lock in the existing profits.
situation
One year, the China stock market was bullish. 10 6 17, the March contract of Shanghai and Shenzhen 300 stock index futures once broke through 13000 points, the Shanghai Composite Index broke through 6000 points, and the Shanghai and Shenzhen 300 Index reached 5890 points. A large family holds a stock portfolio of 300 constituent stocks in Shanghai and Shenzhen, with a market value of120,000 yuan. He deeply feels the risk of the index around 6000 points, but he doesn't intend to actually sell his stock for the following reasons: first, he intends to hold the stock portfolio for a long time, because it is not easy to form a good stock portfolio; Second, it takes time to sell all the stocks immediately. Maybe when the stock is cleared, the stock price is no longer 13000. Third, I feel that the cost of stock trading is too high. In order to avoid a sharp drop in the stock price in the future and grab a good selling price, the customer decided to immediately sell the hedging in the futures market and lock the stock value at the current price level of the day.
The implementation steps of selling hedging scheme are as follows:
(1) Determine the hedging direction: sell in the futures market.
(2) Determine the hedging contract: the futures contract of Shanghai and Shenzhen 300 stock indexes due in March 2008.
(3) Calculate the number of stock index futures contracts to be hedged according to the number of assets to be hedged.
Based on10 June 17 intraday price of March contract of Shanghai and Shenzhen 300 stock index futures 13000:
1 value of futures contract =13000× 300×1= 390.0 (ten thousand yuan).
The number of contracts to be sold for stock portfolio hedging with a value of 654.38+0.2 million yuan is:
Number of contracts for sale = 1200/390=3.076≈3 lots.
Note: Futures trading must be an integer multiple of 1 lot.
(4) Prepare hedge funds. Sell three stock index futures contracts with the price limit of 13000;
* * * Required margin = 3.9 million yuan/lot × 10% (margin rate) × 3 lots.
=1170,000 yuan
There must be surplus funds in the account as a reserve fund.
(5) End hedging. 165438+1October16th, the customer sold his stock portfolio and bought and closed the original three futures contracts at 8880.0.
Analysis of hedging process;
The first situation: when the stock market falls and the market is profitable.
If the futures price of the stock index starts to fall after selling three futures contracts at 13000, and it drops by 4 10 to 1 16 * *, then the gains and losses of the stock market and futures market are shown in table 1.
Table 1 Analysis of Profit and Loss Process of Selling Hedging (I)
The second situation: when the stock market rises and the futures market loses money.
If the stock index futures price continues to rise after 13000 sells three futures contracts, and rises by 500 points from 10 to16 * *, then:
Futures market loss =500 points ×300 yuan/point ×3 lots =45 (ten thousand yuan).
At this time, the futures account must have a surplus of more than 450,000 yuan to avoid being forced to close the position; Otherwise, hedging cannot continue. At this time, the profit and loss of the stock market and futures market are shown in Table 2.
Table 2 Analysis of Profit and Loss Process of Selling Hedging (II)
The above hedging cases belong to complete hedging, and the hedging effect is good. However, in actual hedging, the break-even point is hardly exactly 0. In other words, the actual hedging situation will be more complicated.