NO.PZ202301100200000604
问题如下：
Using the crude oil futures prices in Exhibit 1, who would most likely account for the lowest roll return until March?选项：
A.An airline hedging fuel costs B.The QA Energy Commodities Fund C.A crude oil producer hedging production解释：
SolutionC is correct. A crude oil producer would be short futures to hedge the risk of future falling prices. For example, falling prices would decrease future sales and income. Crude oil futures are in backwardation, causing successive futures contracts to be sold at lower prices and causing roll yield to be negative.
A is incorrect. The airline would be long crude oil futures by hedging potential rising fuel costs. A futures curve in backwardation would allow it to purchase successive futures contracts at lower prices, increasing roll yield.
B is incorrect. The Energy Commodities Fund would be long crude oil futures by being a long-only fund. A futures curve in backwardation would allow it to purchase successive futures contracts at lower prices, increasing roll yield.
1、没看出C选项是short啊，难道hedging production就是short?
2、因为crude oil是处于贴水状态，如果是long方，roll return是正，那short方就是负，我这样的理解对不对？
请老师指正，谢谢。
