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shashankar · 2023年06月05日

课后习题提问

(1)No.PZ2020012001000017 (问答题)

来源: 品职出题

Suppose that on a particular day there are 3,000 trades in a futures contract. Of the buyers in those 3,000 trades, 1,800 were closing out positions and 1,200 were taking new positions. Of the sellers in those 3,000 trades, 1,400 were closing out positions and 1,600 were taking new positions. What is the change in open interest during the day? Does it increase or decrease?

这题课后没给出open interest的答案,此外,这题解析的计算过程感觉不详细,希望给一个逻辑性较好的解题方法和思路


(2)No.PZ2020012001000015 (问答题)

来源: 原版书

If the options (concerning delivery times and what can be delivered) available to the party with a short position are increased, do you think the futures price increases or decreases? [Hint: An option always has a positive value to the holder of the option.]

解析

The more options that the party with a short position has the more attractive the contract is to that party. They are therefore prepared to agree to a lower delivery price. Options available to the party with a short position therefore tend to lower the delivery price.


首先,我感觉解析没有回答题目的问题,future price到底是increase还是decrease,其次,这个解析没有看懂,为什么会lower delivery price,最后,我理解,如果卖方的option更多,那么期货的价格应该会更低,但是和delivery price有什么关系呢?

1 个答案

李坏_品职助教 · 2023年06月06日

嗨,爱思考的PZer你好:


(1)这个题目说的是当天一共有3000笔期货交易,期货的一笔交易都是有多有空的,就像股票的有买有卖才能完成交易。在这3000笔交易的买方中,有1800笔交易是在平仓(把之前的空头平掉),1200笔交易是在开仓(新开的多头仓位)。

而在这3000笔交易的卖方中,有1400个是在平仓(把之前的多头平掉),1600个是在开仓(新开的空头)。题目的open interest意思是新开的仓位有多少?我们只需要考虑多头或空头的任何一方即可。考虑多头:今天新增了1200个多头,但是也有1400个平仓,所以1200-1400= -200,open interest 就是-200。

(2)这个题目问的是:一个期货合约的short方,对他来说,如果可供选择的交割物品种和交割时间更多了(就是空头的交割选项更多了),期货价格会怎么样?这些交割选择权是属于空头的,所以他显然会选择对自己最有利的交割品(也就是比较便宜的现货去交割给多头),交割品便宜了,交割价格自然要下降。期货价格是站在当前时点对标的资产在未来交割日的交割价格预测值,期货价格和交割价格是同向变动的。

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