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Miracle_ · 2022年10月04日

到期时候实物交割可以吗？

  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.

基差大于0，现货价格大于期货价格，直接选择实物交割的话，a是否没有那么大的cost，如何理解？

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李坏_品职助教 · 2022年10月04日

嗨，爱思考的PZer你好：


题目说的是"close out"而不是'settlement'，close out指的是平仓，意思是本来你做的是Long，此时你要进行反向交易，short等量的futures，来结束这笔交易。


close out对应的一般都是还没有到期的期货合约，所以不存在实物交割的可能，是交易所直接根据开仓和平仓价差计算你的收益情况。


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