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Cooljas · 2022年10月11日

为啥是over呢?基差应该是可以有正有负的吧?

NO.PZ2020012001000032

问题如下:

It is now February. A company knows that in May it will have to sell 10,000 barrels of crude oil. It uses the CME Group June futures contract for hedging. Each contract is on 1,000 barrels of light sweet crude. What position should it take? What are the price risks that it is exposed to after taking the position?

选项:

解释:

The company should short 10 (= 10,000/1,000) contracts. It is exposed to basis risk. There are two components to this: the excess of the spot price of light sweet crude over the futures price when the hedge is closed out in May and the difference between the spot price of light sweet crude and the crude oil that the company is selling.



1 个答案

DD仔_品职助教 · 2022年10月12日

嗨,努力学习的PZer你好:


同学你好,

基差确实是有正有负的,但是基差的公式=SP-FP,这句话描述的是基差的定义,也就是SP高于FP的那部分,其实这个over可以理解为minus。

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努力的时光都是限量版,加油!

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