Crude Oil的January Futures是不是数字写错了

问题如下：

Based on the data in Exhibit 1, Ahn would most likely conclude that:

选项：

A.the basis for heating oil futures is 0.0030. B.lumber futures offer the greatest calendar spread. C.the crude oil futures markets are in a state of backwardation.

解释：

Solution

C is correct. Ahn would conclude that the crude oil futures markets are in a state of backwardation, which exists when the spot price exceeds the futures price, as it does in the January crude oil futures contract.

A is incorrect. The difference between spot and futures prices is called the basis. The basis for heating oil futures would be 0.0010 for January and 0.0040 for March; 0.0030 is the calendar spread between the January and March futures.

B is incorrect. A positive calendar spread is associated with futures markets that are in backwardation, whereas a negative calendar spread is associated with futures markets that are in contango. Lumber futures have successively higher prices and are in contango.