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早早 · 2023年08月29日

老师，这道题Hedge头寸可以理解，但是第二个问题，可以进一步解释下么

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000032

问题如下：

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?

解释：

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.

老师，这道题Hedge头寸可以理解，但是第二个问题，可以进一步解释下么

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1 个答案

品职答疑小助手雍 · 2023年08月29日

同学你好，第二个问题是基差风险的定义，就是你实际要在五月份卖的是crude oil，但是却用light sweet crude的六月份期货来做对冲。

现货和期货时间和品种的错配，可能导致现货价格的走势和期货价格不一样，比如这题现货跌了，但是期货没跌，甚至还涨了，那这笔对冲就是亏钱的了。

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NO.PZ2020012001000032问题如下It is now February. A company knows thin Mit will have to sell 10,000 barrels of cru oil. It uses the CME Group June futures contrafor heing. Eacontrais on 1,000 barrels of light sweet cru. Whposition shoulit take? Whare the pririsks thit is exposeto after taking the position?The company shoulshort 10 (= 10,000/1,000) contracts. It is exposeto basis risk. There are two components to this: the excess of the spot priof light sweet cru over the futures priwhen the hee is closeout in Manthe fferenbetween the spot priof light sweet cru anthe cru oil ththe company is selling. 老师，看了英文总感觉明白但是又不明白，您能翻一下答案并讲讲这道题吗

2024-05-30 10:42 4 · 回答

NO.PZ2020012001000032 问题如下 It is now February. A company knows thin Mit will have to sell 10,000 barrels of cru oil. It uses the CME Group June futures contrafor heing. Eacontrais on 1,000 barrels of light sweet cru. Whposition shoulit take? Whare the pririsks thit is exposeto after taking the position? The company shoulshort 10 (= 10,000/1,000) contracts. It is exposeto basis risk. There are two components to this: the excess of the spot priof light sweet cru over the futures priwhen the hee is closeout in Manthe fferenbetween the spot priof light sweet cru anthe cru oil ththe company is selling.

2022-10-11 21:09 1 · 回答

请问老师，sell的对冲为什么不是用long，而是short呢

2020-03-05 20:09 1 · 回答