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kkbis · 2020年03月05日

问一道题：NO.PZ2020012001000032

  1. FRM I
  2. Financial Markets And Products

问题如下：

It is now February. A company knows that in May it will have to sell 10,000 barrels of crude oil. It uses the CME Group June futures contract for hedging. Each contract is on 1,000 barrels of light sweet crude. What position should it take? What are the price risks that it is exposed to after taking the position?

选项：

解释：

The company should short 10 (= 10,000/1,000) contracts. It is exposed to basis risk. There are two components to this: the excess of the spot price of light sweet crude over the futures price when the hedge is closed out in May and the difference between the spot price of light sweet crude and the crude oil that the company is selling.

请问老师，sell的对冲为什么不是用long，而是short呢

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1 个答案

袁园_品职助教 · 2020年03月05日

同学你好！

关于用long 还是用short 来对冲，可以这样思考：公司要sell原油，那么作为卖东西的人，肯定是担心价格下跌，那么hedge就是去做一个“当你担心的事情发生的时候你会赚钱”的头寸。现在我们担心价格下跌，而short futures是当价格下跌时赚钱的，所以就去short futures

 

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