THE ECONOMICS OF MONEY,BANKING, AND FINANCIAL MARKETS 392
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360
PA R T I V
The Management of Financial Institutions
FINANCIAL NEWS
Stock Index Futures
The prices for stock index futures contracts
are published daily. In the Wall Street Journal,
these prices are found in the Futures column.
An excerpt is reproduced here.
S&P 500 Index (CME)-$250 * Index
March
Open
High
Low
Settle
Change
Open
Interest
840.10
848.00
813.00
839.30
,0.50
509 850
Information for each contract is given in columns, as follows. (The March contract is used as an
example.)
Open: Opening price; each point corresponds
to $250 times the index 840.10; that is,
840.10 * $250 + $210 025 per contract
High: Highest traded price that day 848.00, or
$212 000 per contract
Low: Lowest traded price that day 813.00,
or $203 250 per contract
Settle: Settlement price, the closing price that
day 839.30, or $209 825 per contract
Change: Change in the settlement price from
the previous trading day
0.50 points, or
$125 per contract
Open Interest: Number of contracts outstanding
509 850, or a total value of $107 billion
($509 850 * $209 825).
Source: Wall Street Journal, January 16, 2009, p. C5.
at the end of March. By buying the contract at a price of 1000, the buyer has
agreed to pay $250 000 for the delivery amount due of $250 times the S&P 500
Index at the expiration date at the end of March. If the stock market falls so that
the S&P 500 Index declines to 900 on the expiration date, the buyer of the contract will have lost $25 000 because he or she has agreed to pay $250 000 for
the contract but has a delivery amount due of $225 000 (900 * $250). But you,
the seller of the contract, will have a profit of $25 000 because you agreed to
receive a $250 000 purchase price for the contract but have a delivery amount
due of only $225 000. Because the amounts payable and due are netted out, only
$25 000 will change hands; you, the seller of the contract, will receive $25 000
from the buyer.
