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mousesky · 2023年05月23日

Crude Oil的January Futures是不是数字写错了

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NO.PZ202301100200000603

问题如下:

Based on the data in Exhibit 1, Ahn would most likely conclude that:

选项:

A.the basis for heating oil futures is 0.0030. B.lumber futures offer the greatest calendar spread. C.the crude oil futures markets are in a state of backwardation.

解释:

Solution

C is correct. Ahn would conclude that the crude oil futures markets are in a state of backwardation, which exists when the spot price exceeds the futures price, as it does in the January crude oil futures contract.

A is incorrect. The difference between spot and futures prices is called the basis. The basis for heating oil futures would be 0.0010 for January and 0.0040 for March; 0.0030 is the calendar spread between the January and March futures.

B is incorrect. A positive calendar spread is associated with futures markets that are in backwardation, whereas a negative calendar spread is associated with futures markets that are in contango. Lumber futures have successively higher prices and are in contango.

January的不应该和March的一样都是39.93吧?不然这个backwardation也有点歧义,而且和答案里的basis spread、calendar spread也不一致了

1 个答案

韩韩_品职助教 · 2023年05月28日

嗨,从没放弃的小努力你好:


同学你好,这个题目数据跟官网的题目核对了,没有问题,我们在看backwardation的时候,是有两个角度的,一个是spot price vs. future price, 一个是 ST future price vs. LT future price, 这两个都可以用来说backwardation或者是contango。对于crude oil来讲,从spot price vs. future price可以看出来是backwardation, 价格是下降的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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