Appels de couverture, effet de levier / futures

Appels de couverture, effet de levier / futures

puisque c'est particuliérement d'actualité en ce moment ..avec les rumeurs d' augmentation appel de couverture  de la CME sur l'or et l'argent - Comex  pour les spéculateurs

margin call / appel de couverture

(les commerciaux ayant toujours un effet de levier plus élevé et donc une couverture moindre..., un avantage est toujours donné aux shorts par rapport aux longs, puisque sur les futures de l'or et de l'argent, les spéculateurs sont historiquements longs/acheteurs et les commerciaux, courts/shorts/vendeurs)

dans un timing qui ne laisse aucun doute sur la stratégie, com d'hab ..

ci dessous explications détaillées de maitre Norcini ..

je vous mets le résumé en français d'abord, puis le texte original

********************

Dan Norcini, 30 janvier 2006


résumé rapide de la 1ere partie : l'effet de levier :

concernant les spéculateurs , ( c'est à dire les Longs )

pour acheter un contrat , la provision en vigueur ( et fonction du cours de l'once ) est de 1823 $ , la couverture minimum de "maintenance" est de 1350$ : c'est la somme minimum qu'il faut toujours détenir en compte , pour un contrat possédé .
en dessous de ce seuil , le client est appelé en couverture , et doit réalimenter à hauteur de 1823 $ par compte détenu ... autrement dit le broker tolére une perte potentielle maxi de 25.94% par contrats .

autrement dit, pour acquérir à terme 100 onces , valeur de marché 57000 $ , il suffit de provisionner 1823 $ !


ex monsieur Dupont :
il dispose de 10.000 $ pour ouvrir son compte .. il calcule tout bétement combien de contrats il peut se payer .. et il s'en offre donc 5:
5 x 1823 $ = 9115$ , +885$ liquidités , soit 10.000$

l'effet de levier commence ici:
chaque mouvement de 1$ sur le spot va provoquer un mouvement de 100 $ sur le contrat en question ( levier 100 )
et pour 5 contrats , on aura du levier 500 !!

le jour où Dupont achéte ses 5 contrats , la séance finit en baisse de -6$ par rapport à son point d'entrée

son compte est donc immédiatement débité de 6$ x100 x 5 = 3000$ , soit une perte de 30%.. alors que le spot n'a perdu que 6%

lui reste donc en compte : 10000$ - 3000$ = 7000$

l'appel de couverture étant fixé à 1350$ par contrat , il n'est pas tres loin de son seuil à 6750 $. ( 250 $ d'écart seulement )

s'il subit une autre baisse et que son compte atteint ce seuil de 6750 $ , le broker lui demandera de réalimenter son compte à hauteur de la couverture de départ soit 9 115$

autant dire que c'est tres chaud pour lui, puisqu'il suffit que le spot perde 0.60 cents pour qu'il subisse cet appel de couverture :
0.60x100x5 = 300 $

et le jour suivant , le spot perd 1 $

soit une perte supplémentaire pour Dupont de 1 x100 x 5 = 500 $

son compte est débité et passe à 6500$ : 7000 $ - 500 $; il est désormais passé sous le seuil fatidique de 6750$ !
et son broker l'appelle en couverture :

- soit il réalimente en liquidités son compte de 2615 $ ( 9115 $- 6500$ ) et il peut conserver ses positions perdantes aussi longtemps qu'il lui plaira ..
mais si le spot continue de baisser , il sera de nouveau appelé en couverture et devra encore payer en espéces sonnantes et trébuchantes

- il peut également prendre une partie de ses pertes , en liquidant 1 ou plusieurs contrats , ce qui réduirait sa couverture d'appel d'autant .. ça lui ferait gagner du temps ds l'espoir d'une reprise haussiere du spot


- enfin , il peut liquider ses 5 contrats , prendre sa perte de 3500 $ .. il lui resterait en compte 6500 $ de liquidités ...
bref il lui faudrait encaisser une perte de 30% en 2 seances .. pas facile ..mais il vaut mieux parfois se couper un bras que ..

naturellement , le broker exige une réponse instantanée et sans réponse de Dupont, vendra sans son accord les contrats correspondants à hauteur de 2615 $ ( soit la solution 2 )... Dupont n'a plus le choix de sa stratégie autre que les 3 propositions précédentes .
il ne peut absolument pas rester sur ses positions perdantes , en l'état .

suite ....

special cots , explication du phénoméne de levier qui est considérable , par maitre Norcini

c'est vraiment de la balle !! exemple avec un trade sur le contrat futures or standart de 100 onces d'or  : gold standart , 100 onces

Citation :

Trading gold future contracton the CBOT - Dan Norcini - January 30, 2006
Dear Jim,

With your permission I would like to add my two cents to the comments you made regarding the margin question since I have had a few emails about this topic in the past and perhaps this will give me a chance to address it in a single email. I think this might be of some benefit to the community.



Let’s use as an example trading a gold futures contract on the CBOT’s full-sized, 100 ounce, completely electronic gold contract. Note: I no longer trade gold on the Comex as there is absolutely no reason to do so with the tremendous success of CBOT’s first class egold contract.

Currently the margin requirement for specs is $1,823/contract with maintenance margin at $1,350. For the sake of furthering our illustration, let’s assume the would-be trader, John Q. Public, is going to play gold from the long side.

John Q. Public opens an account with his broker and sends $10,000 to fund it. He is excited since now he can trade gold and play with the big boys. The first thing he then does is to see how many gold contracts he can put on with $10,000. That is his first mistake but let me get back to that a bit later. Suffice it for now to say that the problem with most of the general public is that they are usually not very well capitalized and that they also overtrade and place far too many contracts on for the size of their account.

Since the initial margin for each gold contract is $1,823, he places an order for 5 contracts and goes long (10,000/$1,823 = 5.485). Now he is committed to the long side with an initial margin requirement of $9,115 ( 5* $1823).

Each $1.00 move in the price of gold will produce either a paper gain or paper loss of $100 per contract depending on the direction of the move. If it is up, the trader who is long gets a credit of $100 per contract to his account at the settlement; if it is down, the same trader would receive a debit of $100 for each contract position.

John Q. has bought gold because he sees it is going up and has not paid any attention to technical factors, support levels, price channels, oscillators or anything since he knows nothing about these nor does he care. All he knows is that gold is going up in price and he wants in and he can “afford” to buy 5 contracts. He hurriedly places his order just as he sees gold soaring during the trading session and gets filled.

As if right on cue, gold immediately moves down during the same trading session during which John Q has placed his order and drops $6.00/ounce from his entry point where it proceeds to settle for the day. During the clearing process later that same evening, John Q’s newly funded $10,000 account is debited with a paper loss of $3000 (5 contracts closing down $6.00 from his entry point or 5 * $600 = $3000).

When he gets his statement via email that evening, he sees his liquidation value is now $7,000. He has immediately been hit with a huge paper loss taking 30% of his entire account. Here is where the problem compounds itself. While the initial margin requirement per contract was $1,823, the maintenance margin is $1,350. What this means is that if the total amount of money left in his account after the clearing process should fall below the amount required by the exchange to “maintain” his contract position, he will receive a notice from his broker who will have been notified by the exchange and be required to bring that account back to the level of the initial margin. This is a “margin call.”,

Since John Q. is long a total of 5 gold contracts with a maintenance margin of $1350, it is necessary that the amount of money in his account not fall beneath the sum of 5 * 1350 or $6,750. A definition is in order here – should the amount of money in an account fall below the maintenance margin level, the account holder is required to bring the account balance back up to the initial margin level all over again. In this case, that level was the original margin requirement of $9,115.

In other words, he is a mere $250 away from a margin call at the end of the next day’s session. With a long position of 5 gold contracts, all that would be required to receive a margin call from his broker is a $0.60 lower close the following day ( 0.60 * 100 = $60 per contract; $60 * 5 contracts = $300; $7,000 - $300 = $6700).

The next day gold indeed closes lower and it does so by another $1.00. Since each $1.00 move lower in gold produces a paper loss of $100/contract and since John Q has 5 contracts, he gets a debit of $500 to his account the next evening during the clearing process which brings his account balance down to $6,500 ($7,000 - $500).

Congratulations! John Q. is now on the list to receive a margin call, his account having fallen below the threshold of $6,750.

What he will be required to do if he decides to meet the call is to deposit additional monies into his account to bring the balance back up to the initial margin levels once again. Since that level is $9,115 (5 contracts at $1823 each), John Q. will have to wire at a bare minimum $2,615 to his account that same day and confirm the wire with his broker. ($9,115 - $6,500 (his current account balance) = $2615). That will allow him to hold all his positions for a while longer but if the market continues to fall he will be hit with more paper losses, bringing down his account balance again and faces the possibility that he could receive yet another margin call.

If this option does not appeal to him, he has another one. He can sell some of his gold contracts and reduce the size of his position, realizing the actual paper loss on the contracts he sells in the hopes that the market will either reverse course and rally or at the very least stop falling and move sideways for a bit to grant him a reprieve. This will reduce his margin requirements and give him some breathing room. He has now taken a loss but he hopes he can make that back up if the market will turn around. Of course, there is no guarantee that it will.

The other option is that he can immediately dump his entire position and take his paper loss of $3,500. That will leave him with $6,500 in his account. He has taken more than a 30% loss on his very first trade but the damage is over. He no longer has any possibility of recouping his money by those particular positions moving in his favor but neither will he lose any more on them either.

The problem for John Q. is that because of the adverse price movement in gold, he no longer has the luxury of sitting still and doing nothing with his positions. The margin call DEMANDS a response on his part which if this is not immediately forthcoming, will result in his broker selling the position without his permission in order to comply with the exchange set margin requirement. John Q. is no longer in control of his account; the margin clerk is!

So what did John Q do wrong and how might he have avoided this?

First of all, he must learn to respect the power of leverage. The most common mistake of EVERY neophyte trader is thinking only in terms of how much money they will make once they buy into a market and it takes off in price. They dream of christening their new yacht some catchy name such as “April Gold”, or “September Silver” etc.

Listen carefully you who are new to trading. The FIRST THING you must think of when putting on a position is HOW MUCH can you lose if the market moves against you. Leverage can be a terrific friend when the market is moving your way but it is an absolutely merciless, cruel and cold enemy. It can multiply losses and turn them into catastrophes in the blink of an eye.

In other words, the more contracts you put on, the more potential you have to incur devastating losses. Leverage demands respect and any would be trader who fails to render it that respect will not last long. Statistics tell us that more than 90% of those who attempt to trade futures end up losing all of their money. Would you like to know the reason? They have no respect for the power of leverage. Not to be disrespectful, but leverage giveth and leverage taketh away and until a novice learns the latter half of that equation, he or she is doomed to failure in the pits.

Secondly, and this builds on the first, just because John Q. in our example had sufficient funds to put on a total of 5 long contracts, does not mean that 5 long contracts is what he should put on. Quite the opposite. He should carefully consider that those 5 contracts are multiplying the power of a leveraged contract 5 fold. Think about it this way: For a mere $1,823 a trader can control the equivalent of 100 ounces of gold at the current price near $559. That is a staggering sum of $55,900! You talk about leverage. Now multiply that by 5 and you can see where this is headed.

I will submit to you that a novice trader with an account of $10,000 should trade no more than a single gold contract at a time with perhaps two contracts only if the trader has a fairly tight stop out point and knows how to buy into weakness to keep his risk level down. The alternative, and I have suggested this to many folks already, is to trade using only the mini sized electronic gold contract at CBOT which is 1/3 the size of the full 100 ounce contract. One could put on 3 emini golds with a $10,000 account balance and learn to hold a core position and trade the other 1/3 or 2/3 depending on their preference.

Some might think that extreme but it is a lot easier to sit there and see a long position move against you a bit during the day, realizing that even if gold were to drop $10.00/ounce, you would still only be out $1,000 or 10% of your account balance. If you were to get stopped out or decide to get out after that, you would still have $9,000 left in the account - enough money left for sufficient margin to try another 4 times to get it right. If you cannot get it right after 5 times and actually make a bit of money, then you need to regroup and learn what you are doing wrong before proceeding again and throwing good money after bad. Either that or you need a rich uncle!

Here is why this is so important. We are just entering the phase in this generational gold bull market in which volatility is going to soar. We have seen some pretty significant intraday swings in the last couple of weeks. Gold has dropped some $6-$7 during the session only to come roaring back to settle down only slightly or even close in the plus side.

The same holds true for days in which it has made a strong intraday up-move, only to sell off during the session and close only slightly higher or even down a bit. Anyone who is sitting in there with a small sized account and is leveraged up to his neck is going to have to sit there and watch swings of thousands of dollars during which his account is literally being gobbled up in front of his eyes.

When real money is on the line, very few novices are able to act without making a stupid, hasty, emotion-driven decision. They panic as the market swings lower during the day as they see the losses adding up only to sell out their longs and watch the market bounce from the lows and move back up again. They then rush in and buy some more only to see the market dip back down whereupon the fear of another large loss descends upon them and they sell out again in the process managing to lose not only once, but twice during the same trading session. I have seen this happen over and over and over again to rookies and did it myself when I was just entering this profession many years ago.

Trade smaller and you can avoid this. Sure, you will make less money on each move up in gold but so what! The idea is to make your money over a period of time – not all in one day or one week. That is greed and any trader who does not learn to master greed as well as its counterpart, fear, will end up on the floor of the trading pit as road kill.
Additionally, referring back to point one, it is not how much you make, but how much you can avoid losing that counts. If you can avoid taking huge losses, and thus stick around for a while, eventually the winners will take care of themselves. If you are busted, however, after a few trades, your trading career is over and with it any chance of actually making money. Remember again – 90% or better lose money trading futures. You had better learn to avoid doing what these people do.

Third, learn to buy weakness in gold and not chase strength. Let others such as the mindless black box funds do that for you. Jim has dedicated so much of his time to pounding this lesson into your minds and yet I wonder how many of you will follow it. Instead, many of you are still listening to the self-anointed prophets who are a plague and a pestilence within the gold community.

These hucksters only work up the courage to issue their buy recommendations after the market has moved up $30 off its lows and everyone is bulled up. These are the same guys who manage to take $5 out of a $40 move and congratulate themselves for how clever they are. What kind of skill is that? Answer – none! That is why they write newsletters on trading and constantly pontificate about the market – anyone can be an expert on a market in which they have no money at risk. As traders they would starve to death - how many times must I say this?

Rather, that is the time when you should be looking to sell some into strength at the top of the up channels, or at some technically significant region. Remember, the higher the price moves up the farther away becomes the technically appropriate point in which the trade should be exited in the event it happens to go wrong. In other words, the later you buy into a rallying market, the greater your risk becomes and the lower your risk/reward ration becomes.

In summary, keep your position size manageable for the size of your trading account. Respect the power of leverage. Avoid margin calls by trading smaller until you learn how to trade and buy low and sell high using the principles that Jim has taught you. If you get a margin call, get out and before you put on another trade, ANALYZE what it is that you did wrong and try to avoid doing it again.

Trading futures is one of the most difficult skills to learn because the market is so unforgiving and the stakes are so very high due to the power of leverage that the learning curve is of very short duration. Treat the market with respect and never take anything for granted.

Good trading to you,

Dan Norcini.

http://www.jsmineset.com/

Comment fonctionnent précisément la couverture ou plutôt les différentes couvertures qui sont requises pour trader sur les futures?



initial margin requirements", "maintenance margin levels", "margin calls",

voilà déjà 3 notions différentes et fort bien explicitées par Norcini



http://traderdannorcini.blogspot.com/2011/11/margin-call-process.html