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wuzx · 2021年09月04日

如果从买方角度分析怎么做？

  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 1,600 new short positions and 1,400 are closed out (with long trades).

为什么要从sell方分析？从买方分析要怎么算？买方close out1800为什么不能减去新签的得加400份？
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1 个答案

李坏_品职助教 · 2021年09月04日

嗨，爱思考的PZer你好：


从long的角度来看，那1800 的close的单是之前的空头头寸平仓。1200单是新开的多头。


而short方的角度来看，1400是之前的多头仓位平仓，1600是新开的空头。


上面的数字里，加粗的是关于空头平仓和新开的空头的，要汇总在一起。斜体字的是多头的新开和平仓，要汇总在一起。


假设前一天open interest是X个：

那今天的结果就是多头剩下：X-1400+1200，空头剩下：X-1800+1600。所以无论是从Long还是从short来看，open interest少了200

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