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台风来了 · 2023年08月20日

关于 basis swap的交易机制

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问题如下:

Because of a substantial decline in drilling activity in the North Sea, Nabli believes the price of Brent crude oil will increase more than that of heavy crude oil. The actual price volatility of Brent crude oil has been lower than its expected volatility, and Nabli expects this trend to continue. Nabli also expects the level of the ICE Brent Index to increase from its current level.

Nabli and Yamata discuss how to use swaps to take advantage of Nabli’s expectations. The possible positions are

(1) a basis swap long on Brent crude oil and short on heavy crude oil,

(2) a long volatility swap on Brent crude oil, and

(3) a short position in an excess return swap that is based on a fixed level (i.e., the current level) of the ICE Brent Index.

Given Nabli’s expectations for crude oil, the most appropriate swap position is the:

选项:

A.Basis swap. B.Volatility swap. C.Excess return swap.

解释:

Nabli expects the price of Brent crude oil to increase more than that of heavy crude oil, and Nabli can take advantage of this prediction by entering into a basis swap that is long Brent crude oil and short heavy crude oil. Nabli should take a short (not long) position in a volatility swap to take advantage of his prediction that Brent crude oil’s price volatility will be lower than its expected volatility. Nabli should take a long (not short) position in an excess return swap to take advantage of his expectation that the level of the ICE Brent Index will increase faster than leading oil benchmarks.5.4         An investor wants to increase the exposure to commodities by swap, which of the following swap can achieve his goal?A. Total return swap

老师,您好!

basis本身应就是现货价格减去期货价格的价差。a basis swap的交易机制和过程是怎样的呢?题中所述brent oil价格预期上涨,那么期货价格预计上涨更多,那么basis(基差)应该下降。为什么是long brent oil 且short heavy oil ? 麻烦讲解一下,谢谢!

1 个答案

Lucky_品职助教 · 2023年08月20日

嗨,从没放弃的小努力你好:


基差(Basis)是指两个相关商品价格之间的差异,通常用期货价格减去现货价格。

这道题的题干中说Nabli预测Brent crude oil价格会上涨,且上涨幅度大于heavy crude oil,所以我们可以用basis swap来获得这两个标的资产的价差收益,即long Brent crude oil, short heavy crude oil,A选项正确。本题投资者对价格的变化有方向性的,所以用basis swap。如果说投资者只知道价格有巨幅波动,但不知道涨还是跌,这时候才用volatility swap

而他认为Brent crude oil 的volatility will be lower than expected,那么就不应该long volatility swap,B错误。

而如果Brent crude oil可以上涨,超过某个benchmark,那么就可以通过long excess return swap来盈利,文中说short,C错误。

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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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