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书小儿 · 2024年09月25日

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  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.

那我是不是可以理解为，我long的期货是实现对冲了，只是没有完美对冲……然后在我结束这个long contract的时候，其实是要做一个short期货平仓，于是就是你们解释的，我按照现在的市场价格short一个80美分的期货，然后才能平我这个1美元买入的期货？？

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1 个答案

品职答疑小助手雍 · 2024年09月25日

嗨，从没放弃的小努力你好：


是，基差会导致对冲不完美，期末要把long的头寸平掉，就要short平仓。

不过期初不是以1美元买入期货，假设你买入期货价格是F，期间期货涨了0.8美元，也就是期末价格是F+0.8。平仓后期货端你赚了0.8美元。

但是这期间现货涨了1美元，如果你没有对冲，那你买大豆的成本会增加1美元，现在对冲后期货端赚了0.8，那你买大豆的成本增加量就是1-0.8等于0.2

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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