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:
SolutionC 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