KR100919210B1 - System and method for providing hedge service of domestic futures/options - Google Patents

Abstract

PURPOSE: A future/option trading system and a method for supplying a hedge service for avoiding risk are provided to vary a trading strategy by displaying the risk on a screen. CONSTITUTION: A future/option system and a method thereof for supplying a hedge service for avoiding risk includes a first and a second future/option exchange server(100) and a future/option transaction agent sever(200). The first and the second future/option exchange server transmit the price information about the future/option to the future/option transaction agent sever. According to the request of the future/option transaction agent sever, the first and the second future/option exchange server perform purchase of the future/option. A future/option transaction agent sever transmits the price information of the future/option transmitted from the first and the second future/option exchange server to the future/option transaction terminal.

Description

System and method for providing hedge service for domestic hedging services outside of regular time {System and method for providing hedge service of domestic futures / options}

The present invention relates to a futures / options trading system and method for providing a hedge service outside the domestic futures regular time, more specifically, when hedging a domestic futures out of the domestic futures regular time, such as overseas futures, hedging The present invention relates to a futures / option trading system and method for providing a hedge service outside of the domestic futures regular time for analyzing and providing risks and related information that may occur by performing.

Hedges are hedges that eliminate the price changes of risky assets held by investments in other assets. A hedge that keeps a constant wealth at all times is called a full hedge, regardless of the variable value that determines the wealth.

As the globalization of the market increases interoperability between markets, global financial market movements outside the opening time of a specific exchange are reflected in the opening point of a specific exchange, so a technique for proper hedging is required, but a home trading system is required. (HTS) analyzes inter-market interoperability, and there is no service that can properly hedge against the impact of overseas markets.

The present invention has been made in order to solve the above problems, regression analysis of domestic futures and foreign futures to calculate the number of contracts of foreign futures to avoid the risk of domestic futures / options, and display on the screen, the calculated results By entering the overseas futures, the risks of domestic futures / options are avoided, and the risks remaining when domestic index futures / options are avoided as foreign futures are displayed on the screen to diversify trading strategies and avoid risks appropriately. The purpose is to make it possible.

In order to achieve the object of the present invention as described above, the first future or option position traded on the first future / option exchange is traded at a time other than the trading time of the first future / option exchange. The system for hedging with two gifts transmits price information on futures / options to a futures / options trading server, and performs a buy or sell transaction on futures / options at the request of the futures / options trading server. First and second futures / options exchange servers; It is connected to the first and second futures / options exchange server via a network, and transmits the price information of the futures / options sent from the first and second futures / options exchange server to the futures / options trading terminal, the futures A futures / options trading agency server requesting the purchase or sale of futures / options to the first or second futures / options exchange server at the request of the optional trading terminal; The first futures / options exchange currently connected to the futures / options exchange server via a network and currently held from the futures / options price information of the first and second futures / options exchange servers transmitted from the futures / options trading server. And a futures / options transaction terminal for generating analysis information for a hedging of futures / options, and transmitting a request for buying or selling futures / options according to the analysis information to the futures / options trading server.

At this time, the futures / options trading terminal, price information receiving unit for receiving the futures / options price information of the first and second futures / options exchange server from the futures / options trading agency server; A hedge contract number calculating unit configured to calculate a number of hedge contracts of the second gift for the first gift / option by regressing and analyzing price information of the futures / options transmitted from the price information receiving unit; An expected profit and loss distribution calculation and chart generation unit for calculating an expected profit and loss distribution when the first future or option position is hedged with a second gift and generating the expected profit and loss distribution as a chart; An output unit for outputting the hedge contract number calculated in the hedge contract number calculating unit and the expected profit and loss distribution calculation chart and the expected profit and loss distribution chart generated in an audio or visual form; And a database for storing future / option price information received through the price information receiving unit, the hedge contract number calculating unit, and the information generated by the expected profit and loss distribution calculation and chart generation unit.

And when the hedge contract number calculation unit calculates the number of hedge contracts when hedge the first future position with the second future, the number of hedge contracts are calculated using the following equation,

Where l is the number of hedge contracts, F is the first futures price, and a is the slope of the regression equation derived from a simple regression analysis between the rate of change of the second future outside of the first futures trading time and the rate of increase of the market relative to the closing price of the first trading day. , The index is preferably the second futures index.

In addition, when the hedge contract number calculation unit calculates the number of hedge contracts when the first option position to hedge the second option, the number of hedge contracts are calculated using the following equation,

Where l is the number of hedge contracts, D (F, σ, Δt, X) is the Blackschols Delta function, F is the first futures price with the same first asset as the underlying asset, σ is the implied volatility of the first option, Δt Is the remaining period until the expiration date expressed on a one-year basis for the first option, X is the first option event, a is the regression between the rate of change of the second future outside the trading time of the first option and the market price increase from the closing price of the first option. The slope of the regression equation and the index derived from the analysis are preferably the second future index.

On the other hand, the expected profit and loss distribution calculation and chart generation unit, when calculating the expected profit and loss distribution when the first futures position hedging the second future, using the following equation calculates the distribution of the expected future market price increase rate the following day and,

y = ax + b + (axR ₀ + aR ₀ ) + R ₁ = ax + b + (axR ₀ + aR ₀ + R ₁ )

Expected profit or loss by converting the calculated distribution of the expected market price increase from the closing price of the first trade of the first future to the distribution of the first future expected market price on the next day, and then converting the distribution of the first future expected market price to the distribution of changes in expected profit and loss on the following day. Where y is the first futures market expected increase rate, x is the rate of change of the second future between the first futures market closing time and the next day's opening time, ax + b is x for the period set by the user. The rate of change in market price relative to the previous day's closing price of the first future due to the second future fluctuation expected by the simple regression analysis of and y, R ₀ is the time from the present time of the second future (the time of analysis) to the opening time of the first futures market the following day. The distribution function for the rate of change of the two futures, R _1, is the rate of change in the market price of the first future due to the second futures fluctuation expected by the simple regression analysis of x and y during the period set by the futures / option trading terminal user. It is preferred that it is a distribution of residuals in.

In addition, the expected profit and loss distribution calculation and chart generation unit, when calculating the expected profit and loss distribution when hedging the first option position to the second future, the following Black Shoulders call option estimated time-distribution function,

Expected distribution of put options

Calculates the expected change in profit and loss of the first option position, calculates the expected profit and loss distribution by summing the gain and loss of the first option, the gain and loss of the second futures position, and the change in the expected gain and loss of the first option position; Where F [1] is the full-day closing price of the first future with the same basic asset as the first option, and R ₀ is the rate of change of the second future from the current time (the point of analysis) of the second future to the first option opening day of the following day. The distribution function for, R ₁ is the distribution of the residuals in the simple regression analysis between the rate of change of the second future out of the first option trading hours and the daily closing price of the first future with the same first option and the underlying asset, and R ₂ the next day Random fluctuation function for the difference between the implied volatility of option 1 and the implied volatility of the previous day's closing price, R _f is the risk free interest rate, S is the present price of the underlying asset, X is the exercise price of the first option, and σ is the Standard deviation, e is natural constant, Δt is 1 year The remainder of the expiration date to be displayed in, ln (S / X) is preferably a value that corresponds to the random variable z = d of the S / X natural logarithm, N (d1) is the standard normal cumulative distribution.

On the other hand, the futures / options trading terminal maps the first futures / options market forecast distribution chart reflecting the distribution of the change rate of the second futures from the specific time of the second futures to the time corresponding to the opening time of the first futures / options market. It may be configured to further include a map chart generating unit to generate.

The futures / options trading terminal may further include a gap correction and chart generation unit for generating a gap correction chart by removing a portion of the second futures market from the gap between the first futures index through a simple session analysis. .

And the futures / options trading terminal, it is preferable to further include an order processing unit for automatically processing the order processing for the futures / options according to the user's settings.

At this time, the order processing unit, according to the user's selection, the setting period of the reflection of the price data of the first gift / option and the second gift, the hedge position automatic entry, the hedge position automatic clearing, the hedge contract number setting or any combination thereof Automatic order condition setting means for setting an automatic order condition including one; And automatic order processing means for entering the hedge position of the second gift or automatically clearing the hedge position according to the automatic order condition of the automatic order condition setting means.

On the other hand, in the futures / options trading terminal to achieve the above object, the second futures traded at a time other than the trading time of the first futures / options exchange for the first futures or options position held by the first futures / options exchange The method for hedge to a second gift of the / option exchange, the first step in which the future / option trading terminal receives the future / option price information of the first and the second future / option exchange server from the future / option trading server ; A second step of calculating, by the futures / options transaction terminal, the number of hedge contracts of the second futures for the first futures / options by regressing the price information of the futures / options; A third step of calculating an expected profit and loss distribution when the futures / options trading terminal hedges the first futures or option positions with a second gift and generates the expected profit and loss distribution; It is configured to include.

In the second step, when calculating the number of hedge contracts when the first future position is hedged with the second future, the daily variation rate of the market price against the closing price of the first trading price for the first trading price for the period set by the user is extracted. Making; Extracting a daily variation rate of the second future price outside the first futures regular trading time of the second future price during the period; Deriving a regression equation for calculating an expected rate of change of the first gift with respect to the price change rate of the second gift by using the extracted daily rate of change of the first gift price and the second rate of change of the second gift price; Calculating the number of hedge contracts of the second gift for avoiding the risk of the first gift from the regression equation; It is preferably configured to include.

In the calculating of the number of hedge contracts of the second gift for avoiding the risk of the first gift, the number of hedge contracts is calculated using the following equation,

Where l is the number of hedge contracts, F is the first futures price, and a is the slope of the regression equation derived from the simple regression analysis between the second futures fluctuation rate outside the first futures trading time and the market price fluctuations relative to the closing price of the first futures transaction. , The index is preferably the second futures index.

On the other hand, in the second step, when calculating the number of hedge contracts when the first option position is hedged with the second future, the daily fluctuation rate of the market price against the closing price of the first trading price for the first trading price for the period set by the user is determined. Extracting; Extracting a daily rate of change of the price of the second future outside of the regular trading time of the first future during the period; Deriving a regression equation for calculating an expected change rate of the first option with respect to the price change rate of the second future by using the extracted daily rate of change of the first option price and second present price; Calculating the number of hedge contracts of the second gift for avoiding risk of the first option from the regression equation; It may be configured to include.

At this time, the step of calculating the number of hedge contract of the second gift for the risk avoidance of the first option, the number of hedge contract is calculated using the following equation,

Where l is the number of hedge contracts, D (F, σ, Δt, X) is the Blackschols Delta function, F is the first futures price with the same first asset as the underlying asset, σ is the implied volatility of the first option, Δt Is the remaining period until the expiration date expressed on a one-year basis for the first option, X is the first option event, a is the regression between the rate of change of the second future outside the trading time of the first option and the closing price of the first option The slope of the regression equation and the index derived from the analysis are preferably the second future index.

Meanwhile, in the third step, when calculating an expected profit and loss distribution when the first futures position is hedged with a second future, the distribution of the first futures market expected increase rate is calculated using the following equation,

y = ax + b + (axR ₀ + aR ₀ ) + R ₁ = ax + b + (axR ₀ + aR ₀ + R ₁ )

Expected profit or loss by converting the calculated distribution of the expected market price increase from the closing price of the first trade of the first future to the distribution of the first future expected market price on the next day, and then converting the distribution of the first future expected market price to the distribution of changes in expected profit and loss on the following day. Yield a distribution,

In the above formula, y is the expected future first market price increase rate, x is the rate of change of the second future between the first future market opening time and the next day's opening time, ax + b is the simple regression of x and y during the period set by the user. The rate of change in the market price relative to the closing price of the first future due to the change in the second future expected by the analysis, R ₀ is the rate of change in the second future from the current time of the second future (at the time of analysis) to the opening time of the first futures market the following day. Distribution function, R ₁ is the distribution of the residuals in the market price fluctuation ratio of the first day's closing price due to the second future fluctuation expected by the simple regression analysis of x and y during the period set by the futures / option trading terminal user. Is preferably.

In addition, in the third step, when calculating the expected profit and loss distribution when the first option position is hedged with the second future, the following Black Shoulders call option expected time value distribution function,

Expected distribution of put options

Calculates the expected change in profit and loss of the first option position, calculates the expected profit and loss distribution by summing the gain and loss of the first option, the gain and loss of the second futures position, and the change in the expected gain and loss of the first option position; ,

Where F [1] is the full-day closing price of the first future with the same first asset as the first asset, and R0 is the rate of change of the second future from the current time (analysis time) of the second future to the first option opening day of the following day. The distribution function, R1, is the distribution of the residuals in the simple regression analysis between the second futures volatility rate outside the first option trading hours and the market price increase rate of the first futures with the same first option and the underlying asset, and R2 is the day of the first option market price. Random variable for the difference between the implied volatility and the implied volatility of the previous day's closing price, Rf is the risk-free interest rate, S is the present price of the underlying asset, X is the exercise price of the first option, σ is the standard deviation of the underlying asset return, e is The natural constant, Δt, is the remaining period until the expiration date expressed in one year, ln (S / X) is the natural logarithm of S / X, and N (d1) is the random variable z = d of the cumulative standard normal probability distribution. It is preferable that it is a value.

As described above, the futures / options trading system for providing a hedge service outside the domestic futures regular time of the present invention outputs the analyzed information based on the price data of the domestic futures / options and US index futures, and through this, to the overseas index futures. The risk of domestic futures and option positions is avoided by entering the market. In this case, the remaining risks are displayed on the screen, thereby diversifying the trading strategy and effectively avoiding the risks.

1 is an overall configuration diagram of a futures / options trading system according to the present invention.

2 is a block diagram showing the detailed configuration of the futures / options trading terminal of the futures / options trading system according to the present invention.

3 is a configuration diagram showing in more detail the configuration of the order processing unit of the futures / options trading terminal according to the present invention.

4 is a view showing an example of an automatic order condition setting window according to the present invention.

5 is a flowchart illustrating a process of calculating the number of hedge contracts for hedge domestic futures as a target present in the hedge contract number calculating unit.

FIG. 6 is a graph showing a result of regression analysis on an expected change rate of a domestic index future according to a price change rate of a US index future.

FIG. 7 is an exemplary diagram showing an expected profit and loss when a domestic future is hedged by a target future in the calculation and chart generation unit.

8 is a diagram illustrating an example of a map chart according to the present invention.

9 is a diagram illustrating an example of a gap correction chart according to the present invention.

10 is a flowchart illustrating a futures / options trading method according to the present invention.

<Description of Major Symbols in Drawing>

100: futures / options exchange server 200: futures / options trading server

300: futures / options trading terminal 310: price information receiving unit

320: order processing unit 330: hedge contract number calculation unit

340: calculation of expected profit and loss distribution and chart generation unit

350: map chart generation unit

360: gap correction and chart generation unit 370: output unit

380: Database

The present invention is to hedge domestic futures / option positions to futures outside the regular time of domestic futures, including overseas, in order to reduce the risk that may occur when trading domestic futures / options. It encompasses both systems and methods for hedging futures / options positions in markets (eg Korea) to futures in secondary futures markets (US, Europe, etc.) that are traded outside the regular time of the futures / options market. For convenience of explanation, assume that the KOSPI200 futures / KOSPI200 options traded in the domestic futures / options market are hedged with US index futures such as Dow index futures on the Chicago Commercial Exchange or Nasdaq futures on the Chicago Commercial Exchange.

Hereinafter, exemplary embodiments of the present invention will be described in detail with reference to the accompanying drawings.

1 is an overall configuration diagram of a futures / options trading system according to the present invention.

As shown, the futures / options trading system according to the present invention is configured to include a plurality of futures / options exchange server 100, the futures / options trading agency server 200 and the futures / options trading terminal (300).

The futures / options exchange server 100 is a server provided in the futures / options exchange of each country in which futures / options trading is performed, and the futures / options exchange server 200 as the futures / options exchange server 200. Provides basic information about the option, and performs a trade on futures / options according to the request of the futures / options trading server 200. Here, the basic information on the futures / options includes information such as futures / option price information and trading volume of each country.

The futures / options trading server 200 is connected to the futures / options exchange server 100 of each country via a network, and the basic information on the futures / options transmitted from the futures / options exchange server 100. Is transferred to the futures / options trading terminal 300, and the futures / options transaction is made by requesting the purchase or sale of futures / options to the corresponding futures / options exchange server according to the request of the futures / options trading terminal 300. To lose.

The futures / options trading terminal 300 is a terminal used by a customer to receive a hedge service outside the domestic futures regular time according to the present invention, and is connected to the futures / options trading agency server 200 through a network and the gifts From the basic information on the futures / options of the respective futures / options exchange server 100 transmitted from the / option trading server 200 generates analysis information for the hedge of the current futures / options currently held, the analysis information The futures / options buy or sell request according to the future / options trading agency server 200 is transmitted.

2 is a block diagram showing the detailed configuration of the futures / options trading terminal 300 of the futures / options trading system according to the present invention.

As shown, the futures / options trading terminal 300 of the futures / options trading system according to the present invention, price information receiving unit 310, order processing unit 320, hedge contract number calculating unit 330, expected profit and loss distribution The calculation and chart generator 340, the map chart generator 350, the gap correction and the chart generator 360, the output unit 370 and the database 380 is configured to include.

The price information receiver 310 receives transaction price information on futures / options of each futures / options exchange server 100 through the futures / options trading server 200.

The order processor 320 may automatically process an order for a gift / option according to a user's setting.

Referring to FIG. 3, the configuration of the order processing unit 320 will be described in more detail. The order processing unit 320 includes an order condition setting unit 321 and an automatic order processing unit 123.

As shown in FIG. 4, the automatic order condition setting means 321 sets a reflection period of target gift data to be used as basic data for calculating the number of hedge contracts for domestic futures / option positions according to a user's selection; Set up an auto order condition that includes any of hedge position auto-entry, hedge position auto clearing, hedge contract number setting, or a combination thereof.

The automatic order processing means 322 enters a hedge position or automatically clears the hedge position according to the automatic order condition of the automatic order condition setting means 321.

Here, when the domestic futures market ends, the hedge position automatic entry automatically calculates the number of hedge position contracts in the target market and executes the entry order with the corresponding number of contracts. It is to automatically close the market hedge position.

The hedge contract number calculating unit 330 regresses the transaction price information on the futures / options received by the price information receiving unit 310 to target the present future for risk avoidance of the domestic futures / options (in this embodiment, Calculate the number of hedge contracts (assuming futures are US futures) and the risk remaining after hedging.

Specifically, the hedge contract number calculating unit 330 uses the domestic futures / option price information and index futures price information for the period set by the user to change the domestic price / rate of the target futures for the hedging of the domestic futures / options. A regression equation is calculated to obtain an expected rate of change in futures / options, and the number of hedge contracts of the target futures is calculated from the regression equation to avoid the risk of domestic futures / options.

FIG. 5 is a flowchart illustrating a process of calculating a number of hedge contracts to hedge a domestic future as a target present in the hedge contract number calculating unit 330.

First, a period for extracting a daily variation rate of domestic and target futures prices by a user is set (S501). For example, when the period is set to two years, the daily rate of change of domestic and target futures prices is extracted based on data from two years ago to the present.

Next, the daily rate of change of the domestic futures price during the period (eg, two years) set in step S501 is extracted (S502). The daily rate of change means a price change rate between 09:15 and 15:15, which is the trading time of the KOSPI200 futures.

Next, the daily rate of change of the target futures price in the same period is extracted (S503). The daily fluctuation rate is a change rate between the end of the trading time of the domestic future and immediately before the start of the next day, that is, between 01:15 and 19:00 in Chicago time when the target future is a US future as in this embodiment. It means the price change rate.

Next, a regression equation is calculated to obtain an expected rate of change of the domestic index future with respect to the price index of the US index future using the extracted daily rate of change of the domestic future price and the daily rate of change of the futures price (S504). The regression equation is defined as y = ax + b, where x is the rate of change between 01:15 and 19:00 Chicago time for the US index future, and y is the expected rate of change relative to the previous day's closing price of the domestic index future according to x.

The graph of the result of the regression analysis according to the above process is shown in FIG. 6. FIG. 6 shows the unchanged futures (YM: Minidae index futures) on the x-axis and the domestic KOSPI 200 futures market growth rate according to the un- futures volatility on the y-axis.

As shown in the graph, it can be seen from the analysis of the graph that the present future fluctuation rate and thus the domestic future change rate have a relationship of y = 0.9284x + 0.0697.

Thereafter, the number of hedge contracts of the target gift for avoiding the risk of the domestic future from the regression equation is calculated (S505). The number of hedge contracts l for calculating the number of hedge contracts is as follows.

Where l is the target hedge contract, F is the domestic index futures price, a is the slope of the regression equation, and Index is the target futures index.

Meanwhile, the hedge contract number calculation unit 330 may calculate the number of hedge contracts for hedge the domestic index option to the US index futures in a similar manner to the process of calculating the hedge contract number for hedge the domestic index futures to the US index futures. Can be.

First, the daily rate of change of the domestic futures price with the same options and underlying assets for the period set by the user (eg two years) is extracted. The daily rate of change refers to the futures price change rate of options and underlying assets between 9 and 15:15, which is the trading time of the option.

Next, the daily rate of change of the futures price of the same period is extracted. The daily rate of change refers to the rate of change between the end of the trading time of the domestic option and the day before the next day of trading, ie, the rate of change of price between 01:15 and 19:00 in Chicago time for US futures.

Next, a regression equation is calculated to obtain an expected rate of change of the domestic option with respect to the price rate of the US future using the extracted daily rate of change of the domestic futures price and the daily rate of change of the target futures price. The regression equation is defined in the form of y = ax + b in the same way as the domestic futures, where x is the rate of change between 01:15 and 19 o'clock in Chicago for the US future, and y is the same domestic option and underlying asset under x. Estimated change from the previous day's closing price.

Then, the number of hedge contracts of the target futures for the risk avoidance of the domestic option is calculated from the regression equation. The number of hedge contracts l for calculating the number of hedge contracts is as follows.

Where l is the number of target hedge contracts, D (F, σ, Δt, and X) is the Blackschols delta function, F is the domestic futures price with the same domestic options and underlying assets, σ is the implied volatility of the domestic option, and Δt is one year. The remaining period until the maturity date expressed as a reference, X is a domestic option event, which is derived from the regression analysis between the target futures volatility rate outside of the domestic option trading time and the market price increase rate from the closing price of all futures of the same domestic option and the underlying asset. The slope of the regression equation, Index, refers to the target futures index.

The delta function D (F, σ, Δt, X) is a black shoulder delta function, D (F, σ, Δt, X) = N (d1) for a call option, and D (F, σ, for a put option Δt, X) =-(1-N (d1)), and N (d1) is a value corresponding to the random variable z = d1 of the cumulative standard normal probability distribution.

Where R _f is the risk-free interest rate and S is the present price of the underlying asset.

The expected profit and loss distribution calculation and chart generation unit 340 calculates an expected profit and loss distribution when the domestic futures / option positions are hedged as target futures and generates the charts.

First, the process of calculating the expected profit and loss distribution in case of hedge of domestic futures as the target futures (US futures) is explained.

The expected change in the next day's market price due to changes in the subject futures price can be calculated as follows.

If x ₀ is the rising rate of the Chicago Futures 01: 15-19 o'clock, and y ₀ is the forecast of the market rate of increase of the domestic futures by the regression equation between the domestic futures and the futures, y ₀ = ax ₀ + b and The same relationship holds.

x is the change rate outside the regular time of domestic futures of the target future, y is the expected future rate of domestic futures market price, and ax + b is the simple regression analysis of x and y for the period set by the user. The market price change rate to the closing price, R ₀ is the distribution function of the change rate of the target futures from the current time of the target country (at the time of analysis) to the start time of the domestic futures market, and R ₁ is the target futures change rate outside the domestic futures trading time and domestic futures. Suppose the distribution of residuals in the simple regression analysis

x ₀ = (1 + x) (1 + R ₀ ) = (1 + R ₀ ) x + R ₀

y ₀ = ax ₀ + b = a {(1 + R ₀ ) x + R ₀ } + b = ax + b + (axR ₀ + aR ₀ )

y = y ₀ + R ₁

∴ y = ax + b + (axR ₀ + aR ₀ ) + R ₁ = ax + b + (axR ₀ + aR ₀ + R ₁ )

Becomes

Calculate the distribution of y values by substituting R ₀ and R ₁ values into the above equations, converting the distribution of y values to the distribution of expected future futures and converting them to the distribution of expected change in profit or loss. You can create a chart of the expected profit and loss of the option trading start time.

7 is an exemplary diagram showing an expected profit and loss when the domestic future is hedged by the target futures calculation and chart generation unit 340 on the screen.

In the figure, reference numeral 701 denotes the valuation gains and losses of domestic futures, 702 indicates the expected profit and loss of the domestic futures, 703 indicates the valuation gains and losses of the target futures entered for hedge of the domestic futures, and 704 is the expected gains and losses of the domestic futures. It is the sum of profit and loss 702 and the valuation profit and loss 703 of the target futures, that is, the total estimated profit or loss after hedging. Reference numeral 705 denotes a distribution map of the total estimated profit and loss 704.

The expected profit and loss distribution map 705 is a distribution of expected profit and loss assuming that the target futures position is settled at the present time (analysis point) according to the user's setting, and domestic futures when the target futures position is settled at the start time of the domestic futures market. The expected profit and loss distribution of the market transaction start time may be provided at the user's request.

First, if it is assumed that the current futures position is settled, the expected profit and loss distribution is calculated by adding the estimated change in the futures futures of the domestic futures position to the sum of the valuation gains and losses 701 of the domestic futures.

The central value of the distribution is calculated by adding the valuation gains and losses (701) of the domestic futures, the gains and losses (703) of the target futures and the target futures volatility rate * (ax + b) * domestic futures price * prices per domestic futures point. The distribution of the expected profit and loss is based on the calculation of the change in expected future price of the domestic future based on the target futures price.

F (R ₀ , R ₁ ) = ax + b + (axR ₀ + aR ₀ + R ₁ )

It can be seen that it is determined according to the random distribution of. That is, the width of the distribution is determined by R ₀ and R ₁ .

The R ₀ value may be derived indirectly through the daily rate of change of the US future. For example, we obtain a current of R ₀ values at 13 to Chicago time on the basis of the data for the past two years, to derive the US present variation distribution between 19:00 to 13:00 of Chicago Mercantile Exchange between the past two years, separate From this it is possible to derive the R ₀ value.

On the other hand, if the customer clears the unbounded hedging volume before the opening of the domestic futures market (before 09:00 Korea time), the risk for the random distribution is determined at the end of the settlement of the US futures position. If it is cleared, R ₀ = 0. Therefore, since the value of the future expected future price distribution function F (R ₀ , R ₁ ) becomes equal to ax + b + R ₁ , it is possible to provide data necessary for risk only by the regression equation and the residual distribution derived from the regression analysis. . In other words, the width of the distribution is determined only by R ₁ .

Next, the process of calculating the expected profit and loss distribution in case of hedging domestic options as a target future (US futures) will be explained.

If F is the domestic option price, σ is the implied volatility, Δt is the remaining period until the expiration date expressed in one year, and X is the domestic option exercise, then the delta function is D (F, σ, Δt, X) Can be displayed as:

The delta function is used to calculate the expected delta value when hedging a domestic option position with an unprecedented gift. The above Δt and X are fixed values until 9 o'clock in Korea time, and Δt is one day after 9 o'clock. Will change.

The Black Shoulders option price function is expressed as O (F, σ, Δt, X). Like the delta function, Δt and X are fixed values until 9 o'clock in Korean time.

F [1] is the full-day closing price of the domestic option, R ₀ is the distribution function of the rate of change of the target futures from the current time (analysis point) of the target future country to the start time of the next day's domestic option market, and R ₁ is applied outside the domestic option trading time. The distribution of the residuals in the simple regression analysis between the rate of change of the domestic futures of the domestic futures with the same domestic options and underlying assets, and R ₂ is the random variation of the difference between the implied volatility of the domestic option market and the implied volatility of the previous day's closing price. Speaking of a function, the distribution of the next day's market price for a domestic option is

F1 (R ₀ , R ₁ , R ₂ ) = O (F [1] * (1 + y ₀ + R ₁ ), σ + R ₂ )

= O (F [1] * (1 + ax + b + axR ₀ + aR ₀ + R ₁ ), σ + R ₂ , Δt, X)

Becomes

If the target futures position is settled at the present time (analysis time), the option expected profit and loss distribution is calculated by adding the valuation gains and losses of the domestic futures position and the expected change in the domestic option position. .

The expected change in profit or loss of the domestic option position may include a black shoulders call option expected distribution according to the distribution of the next day's market price of the domestic option,

Expected distribution of put options

Calculate using

Where Rf is the risk-free interest rate, S is the present price of the underlying asset, X is the exercise price of the option, σ is the standard deviation of the return on the underlying asset, e is the natural constant, 2.1783, and Δt is the maturity date expressed on a yearly basis. Ln (S / X) is the natural logarithm of S / X, N (d1) is the random variable z = d of the cumulative standard normal probability distribution, and R0 is the next day from the current time in the target country. Distribution function of the rate of change of the target futures up to the opening time of the domestic option market, R1 is the distribution of the residuals in the simple regression analysis between the target futures volatility outside the domestic option trading hours and the market price increase rate with respect to the daily closing price of the same domestic option and the underlying asset. R2 is a distribution function of the difference between the option implied volatility of the domestic option trading closing time and the option implied volatility of the next domestic option trading start time.

On the other hand, assuming that the target future position is settled at domestic option opening time, R ₀ = 0, so the expected change in expected profit and loss of the domestic option position is the black shoulder call option expected distribution value and put option expected distribution value distribution function. It can be obtained by calculating the expected market price by setting R ₀ to 0 at. Therefore, in the same way as the above-mentioned hedge of domestic futures, R ₁ is obtained by using the historical data of the US futures and the data of domestic futures with the same domestic options and underlying assets. If R ₂ is obtained from the distribution of the difference, the value of F1 (R ₁ , R ₂ ) can be calculated (total distribution of F1 function = distribution of R ₁ * distribution of R ₂ ).

As illustrated in FIG. 8, the map chart generator 350 generates a map chart of a domestic market forecast distribution chart reflecting a distribution of a target country index variation rate from a specific time of a target country to a time corresponding to a domestic market start time. do.

For example, when the chart on the left side of FIG. 8 is a Dow index chart at 11 o'clock in Chicago, part B on the right side represents a KOSPI market price distribution map. The distribution just to the left of B is the domestic market forecast distribution based on the distribution of Dow's fluctuation rate (R ₀ ) between 11:01 and 19:00 Chicago time, and the left distribution is from 11: 2 to 19:00 Based on the distribution of Dow's index of change (R ₀ ), it shows domestic market forecast distribution. In this way, the distribution R ₀ for the Dow index fluctuation rate from each specified time to the start time of the domestic futures option market trading is calculated and charted. Part A shows the domestic market forecast distribution at 19 o'clock in Chicago, where the KOSPI market is held. Herein, in the case of the portion A, since R ₀ is zero, it can be seen that the width of the distribution is narrower than that of the portion B.

The gap correction and chart generation unit 360 generates a chart as shown in FIG. 9B by removing a portion of the target market from the gap between the domestic futures index shown in FIG. 9A through statistical analysis (regression analysis).

Here, the gap correction and chart generation unit 360 when the chart is generated, the current domestic futures price is fixed and the previous price is shown by gap correction.

In more detail, the gap correction and chart generation unit 360 divides all prices before the previous day's price by (1 + day residual) and divides all price data before the day's closing price except the price data of the day (1). Price correction is performed by dividing by + day residual value to create a chart. Here, the daily residual means the residual in the simple regression analysis between the foreign futures volatility rate outside the domestic futures option trading time and the market price increase rate with respect to the closing price of all the futures trading days of the domestic futures.

The output unit 370 is the hedge contract number calculation unit 330, the expected profit and loss distribution calculation and chart generation unit 340, the forecast price calculation and map chart generation unit 350, gap correction and chart generation unit The information generated at 360 is transmitted in an auditory or visual form so that the user can recognize it.

For example, as shown in FIG. 8, when a hedge is performed with a target index future (foreign index future) for a domestic index future position, the number of hedges, an estimated market price when hedging, an expected profit and loss, and a total estimated profit or loss The distribution can be displayed on the screen.

The database 380 includes futures / option price information received through the price information receiving unit 310, the hedge contract number calculating unit 330, an expected profit and loss distribution calculation and chart generation unit 340, and a forecast market price calculation. The map chart generator 350 stores the information generated by the gap correction and the chart generator 360.

10 is a flowchart illustrating a method for hedge a domestic future or an option position as a target future as described above. The steps of FIG. 10 are performed at the futures / options trading terminal.

First, the price information of the domestic futures / options and the target futures is transmitted from a futures / options trading server (S1001).

Next, the number of hedge contracts of the target futures for the domestic futures / options is calculated by regression analysis on the transmitted price information of the futures / options (S1002).

In the step S1002, as described above, the step of extracting the daily rate of change of the domestic futures / option price for the period set by the user, the step of extracting the daily rate of change of the target futures price during the period, the extracted domestic futures / Deriving a regression equation for obtaining an expected rate of change in domestic futures / options relative to the price change rate of the target future using the daily rate of change of the option price and the target futures price, and risk of domestic futures / options from the regression Comprising the step of calculating the number of hedge contract of the target gift for avoiding.

Next, the expected profit and loss distribution is calculated when the domestic future or option position is hedged with the target future, and the expected profit and loss distribution is generated (S1003).

The steps S1002 and S1003 are described in detail in the above-described hedge contract number calculating unit and the expected profit and loss distribution calculation and chart generation unit, and thus detailed description thereof will be omitted.

As such, those skilled in the art will appreciate that the present invention can be implemented in other specific forms without changing the technical spirit or essential features thereof. Therefore, the above-described embodiments are to be understood as illustrative in all respects and not as restrictive. The scope of the present invention is shown by the following claims rather than the detailed description, and all changes or modifications derived from the meaning and scope of the claims and their equivalents should be construed as being included in the scope of the present invention. do.

Claims (17)

A system for hedge a first future or option position traded on a first futures / options exchange with a second future on a second futures / options exchange traded outside the trading time of the first futures / options exchange, The first and second futures / option exchanges, which transmit price information on futures / options to the futures / options trading server, and perform buy or sell transactions on futures / options at the request of the futures / options trading server. server; It is connected to the first and second futures / options exchange server via a network, and transmits the price information of the futures / options sent from the first and second futures / options exchange server to the futures / options trading terminal, the futures A futures / options trading agency server requesting the purchase or sale of futures / options to the first or second futures / options exchange server at the request of the optional trading terminal; The first futures / options exchange currently connected to the futures / options exchange server via a network and currently held from the futures / options price information of the first and second futures / options exchange servers transmitted from the futures / options trading server. A futures / options trading terminal for generating analysis information for a hedging of futures / options, and transmitting a request for buying or selling futures / options according to the analysis information to the futures / options trading server; Futures / options trading system that includes. The method of claim 1, The futures / options trading terminal, A price information receiver for receiving futures / option price information of the first and second futures / option exchanges from the futures / options trading server; A hedge contract number calculating unit configured to calculate a number of hedge contracts of the second gift for the first gift / option by regressing and analyzing price information of the futures / options transmitted from the price information receiving unit; An expected profit and loss distribution calculation and chart generation unit for calculating an expected profit and loss distribution when the first future or option position is hedged with a second gift and generating the expected profit and loss distribution as a chart; An output unit for outputting the hedge contract number calculated in the hedge contract number calculating unit and the expected profit and loss distribution calculation chart and the expected profit and loss distribution chart generated in an audio or visual form; A database for storing future / option price information received through the price information receiving unit, the hedge contract number calculating unit, and the information generated by the expected profit and loss distribution calculation and chart generation unit; Futures / options trading system, including. The method of claim 2, When the hedge contract number calculating unit calculates the number of hedge contracts when the first future position is hedged with the second gift, the number of hedge contracts is calculated using the following equation, Where l is the number of hedge contracts, F is the first futures price, and a is the slope of the regression equation derived from a simple regression analysis between the rate of change of the second future outside of the first futures trading time and the rate of increase of the market relative to the closing price of the first trading day. , Index is a second futures index. The method of claim 2, When the hedge contract number calculating unit calculates the number of hedge contracts when the first option position is hedged with the second gift, the number of hedge contracts is calculated using the following equation, Where l is the number of hedge contracts, D (F, σ, Δt, X) is the Blackschols Delta function, F is the first futures price with the same first asset as the underlying asset, σ is the implied volatility of the first option, Δt Is the remaining period until the expiration date expressed on a one-year basis for the first option, X is the first option event, a is the percentage of the first futures fluctuation outside the trading time of the first option, and the first futures with the same options and underlying assets. The futures / options trading system, characterized in that the slope of the regression equation derived from the regression analysis between the market price increase rate and the previous trading day is the second futures index. The method of claim 2, When the expected profit and loss distribution calculation and chart generation unit calculates an expected profit and loss distribution when the first future position is hedged with a second future, the following future equation is used to calculate the distribution of the expected future market price increase rate, y = ax + b + (axR ₀ + aR ₀ ) + R ₁ = ax + b + (axR ₀ + aR ₀ + R ₁ ) Expected profit or loss by converting the calculated distribution of the expected market price increase from the closing price of the first trade of the first future to the distribution of the first future expected market price on the next day, and then converting the distribution of the first future expected market price to the distribution of changes in expected profit and loss on the following day. Yield a distribution, In the above formula, y is the expected future first market price increase rate, x is the rate of change of the second future between the first future market opening time and the next day's opening time, ax + b is the simple regression of x and y during the period set by the user. The rate of change in the market price relative to the closing price of the first future due to the change in the second future expected by the analysis, R ₀ is the rate of change in the second future from the current time of the second future (at the time of analysis) to the opening time of the first futures market the following day. , R ₁ is the distribution of the residuals in the market price fluctuation ratio of the first day's closing price of the first future due to the second future fluctuation expected by the simple regression analysis of x and y during the period set by the futures / option trading terminal. Futures / options trading system, characterized in that. The method of claim 2, When the expected profit and loss distribution calculation and chart generation unit calculates the expected profit and loss distribution when the first option position is hedged with the second future, the following black shoulders call option expected time value distribution function, Expected distribution of put options Calculates the expected change in profit and loss of the first option position, calculates the expected profit and loss distribution by summing the gain and loss of the first option, the gain and loss of the second futures position, and the change in the expected gain and loss of the first option position; , Where F [1] is the full-day closing price of the first future with the same basic asset as the first option, and R ₀ is the rate of change of the second future from the current time (the point of analysis) of the second future to the first option opening day of the following day. Distribution function, R ₁ is the distribution of the residuals in the simple regression analysis between the rate of change of the second future outside the option trading hours and the first day's closing price of the first option with the same basic assets, and R ₂ is the first Random fluctuation function for the difference between the implied volatility of the option market price and the implied volatility of the previous day's closing price, R _f is the risk free interest rate, S is the present price of the underlying asset, X is the exercise price of the first option, and σ is the standard of the basic asset return Deviation, e is the natural constant, Δt is the remaining period until the expiration date expressed in one year, ln (S / X) is the natural logarithm of S / X, and N (d1) is the random variable z = in the cumulative standard normal probability distribution. futures / options trading system, characterized in that the value corresponding to d. The method of claim 2, The futures / options trading terminal, It further includes a map chart generation unit for generating a map chart of the first futures / option market forecast distribution chart reflecting the distribution of the second futures variation rate from the specific time of the second future to the time corresponding to the opening time of the first futures / option market. A futures / options trading system. The method of claim 2, The futures / options trading terminal, A futures / options trading system further comprising a gap correction and chart generation unit for generating a gap correction chart by removing a portion of the second futures market from the gap between the first futures index through a simple regression analysis. The method of claim 2, The futures / options trading system further comprises an order processing unit for automatically processing the order processing for futures / options according to the user's settings. The method of claim 9, The order processing unit, According to the user's choice, the automatic ordering condition includes any one of setting a reflection period of the price data of the first future / option and the second future, automatically entering the hedge position, automatically clearing the hedge position, setting the number of hedge contracts, or a combination thereof. Automatic order condition setting means for setting a; And And an automatic order processing means for entering the hedge position of the second gift or automatically clearing the hedge position in accordance with the automatic order condition of the automatic order condition setting means. At the futures / options trading terminal, hedge the first futures or option positions held by the first futures / options exchange with the second futures of the second futures / options exchange traded outside the trading hours of the first futures / options exchange. As a way to A first step of receiving, by the futures / options trading terminal, the futures / options price information of the first and second futures / options exchange from the futures / options trading server; A second step of calculating, by the futures / options transaction terminal, the number of hedge contracts of the second futures for the first futures / options by regressing the price information of the futures / options; A third step of calculating an expected profit and loss distribution when the futures / options trading terminal hedges the first futures or option positions with a second gift and generates the expected profit and loss distribution; Futures / Options trading methods, including. The method of claim 11, In the second step, when the number of hedge contracts when the first future position is hedged with the second gift, Extracting a daily rate of change of the market price against the closing price of the first trade price of the first future price during the period set by the user; Extracting a daily rate of change of the price of the second future outside of the regular trading time of the first future during the period; Deriving a regression equation for calculating an expected rate of change of the first gift with respect to the price change rate of the second gift by using the extracted daily rate of change of the first gift price and the second rate of change of the second gift price; Calculating the number of hedge contracts of the second gift for avoiding the risk of the first gift from the regression equation; Futures / Options trading methods, including. The method of claim 12, The step of calculating the number of hedge contracts of the second gift for the risk avoidance of the first gift, calculates the number of hedge contracts using the following equation, Where l is the number of hedge contracts, F is the first futures price, and a is the slope of the regression equation derived from the simple regression analysis between the second futures fluctuation rate outside the first futures trading time and the market price fluctuations relative to the closing price of the first futures transaction. , Index is a second futures index. The method of claim 11, In the second step, when the number of hedge contracts when the first option position is hedged with the second gift, Extracting a daily rate of change of the first futures price that is equal to the first option and the underlying asset for the period set by the user; Extracting a daily rate of change of the price of the second future outside of the regular trading time of the first future during the period; Deriving a regression equation for calculating an expected change rate of the first option to the price change rate of the second future by using the daily rate of change of the first future price and the second future price of the same first asset with the extracted first option Doing; Calculating the number of hedge contracts of the second gift for avoiding risk of the first option from the regression equation; Futures / Options trading methods, including. The method of claim 14, The step of calculating the number of hedge contracts of the second gift for the risk avoidance of the first option, calculates the number of hedge contracts using the following equation, Where l is the number of hedge contracts, D (F, σ, Δt, X) is the Blackschols Delta function, F is the first futures price with the same first asset as the underlying asset, σ is the implied volatility of the first option, Δt Is the remaining period until the expiration date expressed on a one-year basis for the first option, x is the first option event, a is the rate of change of the second future outside of the first option's trading period, and the first gift is the same as the first option and the underlying asset. The slope of the regression equation derived from the regression analysis between the market price increase rate and the closing price of the previous trading day, and the index is the second futures index. The method of claim 11, In the third step, when calculating an expected profit and loss distribution when the first futures position is hedged with the second future, the distribution of the first futures market expected increase rate is calculated using the following equation, y = ax + b + (axR ₀ + aR ₀ ) + R ₁ = ax + b + (axR ₀ + aR ₀ + R ₁ ) Expected profit or loss by converting the calculated distribution of the expected market price increase from the closing price of the first trade of the first future to the distribution of the first future expected market price on the next day, and then converting the distribution of the first future expected market price to the distribution of changes in expected profit and loss on the following day. Yield a distribution, In the above formula, y is the expected future first market price increase rate, x is the rate of change of the second future between the first future market opening time and the next day's opening time, ax + b is the simple regression of x and y during the period set by the user. The rate of change in the market price relative to the closing price of the first future due to the change in the second future expected by the analysis, R ₀ is the rate of change in the second future from the current time of the second future (at the time of analysis) to the opening time of the first futures market the following day. , R ₁ is the distribution of the residual in the market price fluctuation rate compared to the previous day's closing price of the first gift due to the second future fluctuation expected by the simple regression analysis of x and y for the period set by the user. How to trade futures / options. The method of claim 11, In calculating the expected profit and loss distribution when the first option position is hedged with the second future in the third step, the following Black Shoulders call option expected value distribution function, Expected distribution of put options Calculates the expected change in profit and loss of the first option position, calculates the expected profit and loss distribution by summing the gain and loss of the first option, the gain and loss of the second futures position, and the change in the expected gain and loss of the first option position; , Where F [1] is the full-day closing price of the first future with the same basic asset as the first option, and R ₀ is the rate of change of the second future from the current time (the point of analysis) of the second future to the first option opening day of the following day. Distribution function, R ₁ is the distribution of the residuals in the simple regression analysis between the rate of change of the second future outside the option trading hours and the first day's closing price of the first option with the same basic assets, and R ₂ is the first Random variable for the difference between the implied volatility of the option market price and the implied volatility of the previous day's closing price, R _f is the risk free interest rate, S is the present price of the underlying asset, X is the exercise price of the option, σ is the standard deviation of the underlying asset return, e is the natural constant, Δt is the remaining period until the expiration date expressed in one year, ln (S / X) is the natural logarithm of S / X, and N (d1) is the random variable z = d of the cumulative standard normal probability distribution. Futures / options trading method, characterized in that the corresponding value.