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亚利 · 2023年05月27日

初始基差的问题

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000033

问题如下：

20 futures contracts are used to hedge an exposure to the price of soybeans. Each futures contract is on 5,000 bushels. At the time the hedge is closed out, the basis is 20 cents per bushel. What is the effect of the basis on the hedger if (a) the purchase of soybeans is being hedged and (b) the sale of soybeans is being hedged?

解释：

The basis increases the net price after hedging by 20 * 5,000 * USD 0.20 or USD 20,000. In (a) this is an extra cost to the hedger. In (b) it is an extra amount received from the sale of soybeans.

这题并没有明确初始基差，如果初始基差不为零，这题答案所说的并不成立啊

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3 个答案

李坏_品职助教 · 2023年05月29日

嗨，从没放弃的小努力你好：


是的，是和平仓时基差为0的情况对比的。

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李坏_品职助教 · 2023年05月28日

嗨，从没放弃的小努力你好：


如果期货和现货是同一品种，那么在expiration date到期日的时候，期货价格=现货价格，基差为0，否则会出现无风险套利机会。


这个题目说的是在close out平仓的时候，基差为20cents，如果跟到期日基差为0的情况相比，我们做多大豆期货是亏了20cents（少赚了20）。


即便按照你说的初始基差为20cents（比如现货2，期货1.8），如果在平仓的时候基差为0（现货3，期货3），那我做多大豆期货应该是赚了20cents（期货多头盈利超过现货成本上升）。但题目说的是基差为20cents，我等于少赚了20cents。

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亚利 · 2023年05月28日

我明白了，这题只看的是平仓那个时点，跟整个套保的过程盈亏无关对吧？我想偏了，谢谢老师

李坏_品职助教 · 2023年05月27日

嗨，努力学习的PZer你好：


这个和初始基差没关系。


b说的是要卖大豆，担心大豆价格下跌，就签一个short futures。

大豆价格下跌1块，卖大豆亏一块，short futures赚一块，两个刚好完美对冲。

但是现在有基差风险=20cents，也就是spot price-futures price=20cents，现货价格比期货价格下降得慢（现货相对价格高一些）。

大豆现货价格跌1块，我卖大豆亏1块，futures价格跌1.2，我short futures赚1.2。那就不是完美对冲了，这个头寸因为存在20cent的基差风险导致我净赚2毛。


同理，在a里面是我做多futures，由于spot - futures price = 20cents，那么现货上涨（导致我成本增加）的幅度大于期货上涨的幅度，所以我是增加了20cents的成本。


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加油吧，让我们一起遇见更好的自己！

亚利 · 2023年05月27日

如果初始基差也是0.2，最后基差还是0.2其实是没有风险的，基差变动才会导致基差风险。如果开始现货2元，期货1.8元，最终现货跌1元变成1元，期货跌一元变成0.8，前后基差都是0.2，盈亏是相抵的，所以跟初始基差是有关系的。但是课件里说初始基差是0，是为什么，一般情况下对冲不可能现货和期货价格完全相等

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