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华赞 · 2024年08月14日

真正有效的合约

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000017

问题如下：

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?

解释：

The open interest goes down by 200. This is because there are 1,200 new long positions and 1,400 long positions are closed out (with short trades). Alternatively, there are 1,800 new short positions and 1,600 are closed out (with long trades).

就是新签即买卖双方分别是1200和1600，双方交易1600—1200=400

由于买卖是翻倍的合约400除以2=200

这样理解对吗

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已采纳答案

pzqa27 · 2024年08月14日

嗨，努力学习的PZer你好：


不太对，这个200是恰巧算出来的，并且无法说明open interest 是增加还是降低。

首先，long方关闭1800个合约，short方关闭1400个合约，也就是long方有1400个合约是和short方同时关闭的，那么使用下图第三个原则，open interest 下降1400， 同时long方剩余400个合约需要关闭。

其次， long方新增合约1200个，short方新增合约1600个，short方有1200个合约是和long方同时新增的，那么使用下图第一个原则，open interest 上升1200，同时short方剩余400个新增合约。

最后，long方剩余400个合约关闭，short方新增400个合约，根据下图第二个原则，open interest 不变。

那么综合来看open interest 先下降1400， 再上升1200， 所以open interest 下降共计200

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