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Cooljas · 2022年10月11日

可以照这个再帮我解释下b问吗？谢谢～

  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?

选项：

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.



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品职答疑小助手雍 · 2022年10月12日

同学你好，把除了基差的部分改成相反的即可。

b说的是要卖大豆，担心大豆价格下跌，就签一个价格真的下跌了对我有好处的合约，就是short futures。

我卖大豆，short futures，大豆价格下跌1块，卖大豆亏一块，short futures赚一块，两个刚好完美对冲。

但是现在有基差风险=20cents也就是spot price-futures price=20cents，现货价格比期货价格下降得慢（现货相对价格高一些）。

大豆现货价格跌1块，我卖大豆亏1块，futures价格下跌多20分，价格跌1.2，我short futures赚1.2。那就不是完美对冲了，这个头寸因为存在20cent的基差风险导致我净赚2毛。


不过我觉得其实原本的原理之前助教已经描述的很清楚了，只是让我从全部相反的角度这样复述不如你理解了对冲的本质含义去自己推一遍收获大，我这样复述减少了你的思考。

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