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shashankar · 2023年06月06日

课后习题

No.PZ2020012001000032 (问答题)

来源: 原版书

It is now February. A company knows that in May it will have to sell 10,000 barrels of crude oil. It uses the CME Group June futures contract for hedging. Each contract is on 1,000 barrels of light sweet crude. What position should it take? What are the price risks that it is exposed to after taking the position?


解析

The company should short 10 (= 10,000/1,000) contracts. It is exposed to basis risk. There are two components to this: the excess of the spot price of light sweet crude over the futures price when the hedge is closed out in May and the difference between the spot price of light sweet crude and the crude oil that the company is selling.


问题:我觉得答案应该是:如果目前这家公司是long spot手里有现货,则short 10 futures contract;如果目前这家公司是short spot手里没现货,则long 10 futures contract,而不是直接说short,题目里也没说目前这家公司手里有没有现货,不理解答案

1 个答案

DD仔_品职助教 · 2023年06月07日

嗨,从没放弃的小努力你好:


同学你好,

题目没有明确说手里是否有头寸,但是第二句说道公司在五月会卖原油,就相当于说明了公司手里是有现货的,公司要sell原油,那么作为卖东西的人,肯定是担心价格下跌,那么hedge就是去做一个“当你担心的事情发生的时候你会赚钱”的头寸。现在我们担心价格下跌,而short futures是当价格下跌时赚钱的,所以就去short futures

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努力的时光都是限量版,加油!

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