关于 basis swap的交易机制

问题如下：

Because of a substantial decline in drilling activity in the North Sea, Nabli believes the price of Brent crude oil will increase more than that of heavy crude oil. The actual price volatility of Brent crude oil has been lower than its expected volatility, and Nabli expects this trend to continue. Nabli also expects the level of the ICE Brent Index to increase from its current level.

Nabli and Yamata discuss how to use swaps to take advantage of Nabli’s expectations. The possible positions are

(1) a basis swap long on Brent crude oil and short on heavy crude oil,

(2) a long volatility swap on Brent crude oil, and

(3) a short position in an excess return swap that is based on a fixed level (i.e., the current level) of the ICE Brent Index.

Given Nabli’s expectations for crude oil, the most appropriate swap position is the:

选项：

A.Basis swap. B.Volatility swap. C.Excess return swap.

解释：

Nabli expects the price of Brent crude oil to increase more than that of heavy crude oil, and Nabli can take advantage of this prediction by entering into a basis swap that is long Brent crude oil and short heavy crude oil. Nabli should take a short (not long) position in a volatility swap to take advantage of his prediction that Brent crude oil’s price volatility will be lower than its expected volatility. Nabli should take a long (not short) position in an excess return swap to take advantage of his expectation that the level of the ICE Brent Index will increase faster than leading oil benchmarks.5.4         An investor wants to increase the exposure to commodities by swap, which of the following swap can achieve his goal?A. Total return swap