NO.PZ202502120100003202
问题如下:
Based on the shape of Commodity X’s futures curve and market expectations, Tattersall should:选项:
A.A.sell the futures only. B.B.buy the futures only. C.C.sell the spot and buy the futures.解释:
A Correct because if the market is in contango (i.e., when the shape of the futures price curve is upward sloping with more distant contract dates), in order to maximize the roll return the investor should sell the futures so that, when the futures price converges to the spot (all else being equal), they would pocket a profit. As an example, if the buyers of soybeans (as a group) are especially worried about the availability of the crop in the next harvest but producers of soybeans are less concerned about crop prices, there would be an imbalance in the demand for price insurance away from producers and toward buyers. This situation would lead to a futures price curve that represents a market in contango. In this case, the additional demand for price insurance among buyers (versus sellers) of the commodity will lead them to bid up the futures price to induce speculators to take on this price uncertainty risk.
B Incorrect because buying the futures would be the most likely position taken in order to maximize the roll return when a market is in backwardation. Generally speaking and assuming stable spot prices, the producer is willing to take a price in the future that is lower than the current spot price because it provides a level of certainty for the producer’s business.
C Incorrect because buying the spot has no relevance to either contango or backwardation, but rather reflects pure speculation. Also, buying the futures would be the most likely position taken in order to maximize the roll return when a market is in backwardation.
contango的价格趋势上涨,且roll return是负的,所以应该是买入持有期货+不roll。请老师指正