开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

亚利 · 2023年05月27日

初始基差的问题

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.

这题并没有明确初始基差,如果初始基差不为零,这题答案所说的并不成立啊

3 个答案

李坏_品职助教 · 2023年05月29日

嗨,从没放弃的小努力你好:


是的,是和平仓时基差为0的情况对比的。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

李坏_品职助教 · 2023年05月28日

嗨,从没放弃的小努力你好:


如果期货和现货是同一品种,那么在expiration date到期日的时候,期货价格=现货价格,基差为0,否则会出现无风险套利机会。


这个题目说的是在close out平仓的时候,基差为20cents,如果跟到期日基差为0的情况相比,我们做多大豆期货是亏了20cents(少赚了20)。


即便按照你说的初始基差为20cents(比如现货2,期货1.8),如果在平仓的时候基差为0(现货3,期货3),那我做多大豆期货应该是赚了20cents(期货多头盈利超过现货成本上升)。但题目说的是基差为20cents,我等于少赚了20cents。

----------------------------------------------
努力的时光都是限量版,加油!

亚利 · 2023年05月28日

我明白了,这题只看的是平仓那个时点,跟整个套保的过程盈亏无关对吧?我想偏了,谢谢老师

李坏_品职助教 · 2023年05月27日

嗨,努力学习的PZer你好:


这个和初始基差没关系。


b说的是要卖大豆,担心大豆价格下跌,就签一个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。


同理,在a里面是我做多futures,由于spot - futures price = 20cents,那么现货上涨(导致我成本增加)的幅度大于期货上涨的幅度,所以我是增加了20cents的成本。


----------------------------------------------
加油吧,让我们一起遇见更好的自己!

亚利 · 2023年05月27日

如果初始基差也是0.2,最后基差还是0.2其实是没有风险的,基差变动才会导致基差风险。如果开始现货2元,期货1.8元,最终现货跌1元变成1元,期货跌一元变成0.8,前后基差都是0.2,盈亏是相抵的,所以跟初始基差是有关系的。但是课件里说初始基差是0,是为什么,一般情况下对冲不可能现货和期货价格完全相等

  • 3

    回答
  • 0

    关注
  • 305

    浏览
相关问题

NO.PZ2020012001000033 问题如下 20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being hee The basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 结合这道例题,请问在实操中,如果我想买大豆,如果价格涨上去了,我可以等到futures到期了交割啊,不用买现货?如果是想在futures到期前买入大豆,那可以一开始选择一个符合预期的futures?

2024-10-24 09:27 2 · 回答

NO.PZ2020012001000033 问题如下 20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being hee The basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 请教老师,这个题s大于f,basis是正的,long方roll yiel正,short方roll yiel负,和答案的理解相反,不知道错在哪里?

2024-10-10 15:56 3 · 回答

NO.PZ2020012001000033 问题如下 20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being hee The basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 请问老师可以理解为,作为long方roll yiel正的,short方roll yiel负的么?

2024-10-10 15:17 1 · 回答

NO.PZ2020012001000033问题如下20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being heeThe basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 那我是不是可以理解为,我long的期货是实现对冲了,只是没有完美对冲……然后在我结束这个long contract的时候,其实是要做一个short期货平仓,于是就是你们的,我按照现在的市场价格short一个80美分的期货,然后才能平我这个1美元买入的期货??

2024-09-25 10:25 1 · 回答

NO.PZ2020012001000033问题如下20 futures contracts are useto hee exposure to the priof soybeans. Eafutures contrais on 5,000 bushels. the time the hee is closeout, the basis is 20 cents per bushel. Whis the effeof the basis on the heer if (the purchase of soybeans is being heean(the sale of soybeans is being heeThe basis increases the net priafter heing 20 * 5,000 * US0.20 or US20,000. In (this is extra cost to the heer. In (it is extra amount receivefrom the sale of soybeans. 老师,我真的不太懂这个逻辑,就是我未来要买大豆,担心价格上涨,好……我long一个期货,这里我知道,然后说basis risk是20,正数,所以是我的现货价格涨幅要快过期货涨幅,那我应该是对冲风险对了呀,为什么我反而增加了成本??我总觉得我哪里的逻辑不对

2024-09-24 19:59 1 · 回答