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王昕彤 · 2023年03月07日

如题

* 问题详情,请 查看题干

NO.PZ202301100200000505

问题如下:

Fond du Lac would most likely be acting as a(n):

选项:

A.speculator.

B.arbitrageur.

C.informed investor.

解释:

Solution

B is correct. Arbitrageurs have the ability to inventory physical commodities and can capitalize on mispricing between the commodity (along with storage and financing cost) and the futures price by purchasing the commodity in the spot market and holding it in storage until a future date.

A is incorrect because speculators trade commodities without ever taking physical possession.

C is incorrect because informed investors primarily keep commodity futures markets efficient by capitalizing on mispricing attributable to a lack of information in the marketplace. As with speculators, informed investors do not take physical possession of the commodity for storage until a future date.

老师,这道题为什么不选A选项呢

2 个答案

Lucky_品职助教 · 2023年04月03日

嗨,从没放弃的小努力你好:


回复鱿鱼:

期货市场的主要交易者有三类,informed investor; liquidity providers; arbitrageurs.

其中informed investors 和 liquidity providers主要就是hedgers & speculators.

hedger是为了对冲未来的期货价格风险的大宗商品生产商。speculators,是hedger的对手方,他们更了解市场和未来的价格趋势。

而第三种arbitrageurs, 就是用期货市场的定价不准确性来进行套利的参与者,arbitrageurs who have the ability to inventory physical commodities can attempt to capitalize on mispricing between the commodity (along with related storage and financing cost) versus the futures price. They may own the storage facilities (bonded warehouses, grain silos, feedlots) and work to manage that inventory in conjunction with the futures prices to attempt to make arbitrage-style profits.他们会持有现货,但是也会利用现货与期货价格之间的错误来低买高卖,赚取利润。题目中说的就是这种情况Fond du Lac has purchased a large amount of corn in the spot market and has taken delivery at its storage facilities. When the price increase occurs, they intend to sell the corn in the spot market.,一边持有现货,一边等到期货市场的价格来进行套利,所以选B。

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加油吧,让我们一起遇见更好的自己!

Lucky_品职助教 · 2023年03月10日

嗨,从没放弃的小努力你好:


题干中说到Fond du Lac has purchased a large amount of corn in the spot market and has taken delivery at its storage facilities.投机者是不会买大宗商品现货的,毕竟储存成本很高。题目这家公司利用现货和期货价差获利,属于套利者的行为。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

鱿鱼 · 2023年04月03日

套利不应该是空手套白狼,他买了现货,而且是基于模型判断能赚钱,实际上还是有风险敞口的?

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