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What Is A Stock Index Futures Contract?
?? üaü2D?2?ê? Dr Jennifer Mao????A gold futures contract buys gold for future delivery. A futures contract on HSBC stock has the HSBC shares as the underlying commodity. But what does a Stock Index Futures (SIF) contract buy or sell?????In theory, the commodity underlying an SIF contract is aportfolio of stocks replicating the specified index. The best way to understand what this means is to see how an SIFcontract can be used by the investor to profit from his views on broad market movements. In this article, we shall use the soon-to-be-launched Simex MSCI Singapore Stock IndexFutures (or SiMSCI Futures for short) for illustration.????The exact specifications of SiMSCI Futures are yet to befinalised. What is known at present includes the following. The contract assigns a $200-per-point value to the underlying MSCI Singapore Free Index. (This index will be explained in greater detail in a subsequent article.) There will be six contract months concurrently listed for trading.The margin requirements will be approximately 10% of the contract value. The MSCI Singapore Free Index stood at 190.9on 8 May 1998. The corresponding SiMSCI Futures would have acontract value of $38,180, being $200 times 190.9. In this series, we will assume that the initial margin and the maintenance margin for this contract are $5,000 and $4,000, respectively. Note that they are two specified levels of thesame margin account, not two separate sums of money. ????When two counter-parties trade SIF futures, the buyer isbetting that the index up to a specified point in time will be above a certain level. The seller, on the contrary, holdsthe opposite view. The "specified point in time" is the maturity date of the futures contract. Futures are standardised contracts. The standardised maturities of the SiMSCI Futures will be the last Stock Exchange of Singapore (SES) trading day of the contract months, being the two nearest serial months and the nearest March quarterly months(meaning, in August 98, the following four months: September98, December 98, March 99, June 99). As a near contract (say, September 98) matures, a distant contract (i.e.,September 99) will be added on a rolling basis.????Without an SIF futures contract, an investor who is bullish about the overall market movement and wishes to takea position accordingly will have to pick the counters to invest in. To form a portfolio broad enough to represent theoverall market would definitely require millions of dollars,quite possibly beyond his budget. If he selects just a few counters, his choices may not move in tandem with the broad market.????On the other hand, a bearish investor who does not hold shares will have no way of putting his money where his belief is since shortselling is not allowed. An investor wi