NO.PZ202212300200004802
问题如下：
Which of Whitacre’s
two statements regarding bond futures arbitrage is correct?
选项：
A.Only Statement 4
Only Statement 5
Both Statement 4 and
Statement 5
解释：
Correct Answer: A
If the basis is positive, a trader would make a profit by “selling the
basis”—that is, selling the bond and buying the futures. In contrast, when the
basis is negative, the trader would make a profit by “buying the basis,” in
which the trader would purchase the bond and short the futures.
B is incorrect because Statement 5 is incorrect. If the basis is
negative, a trader would make a profit by “buying the basis”—that is,
purchasing (not selling) the bond and shorting (not buying) the futures.
C is incorrect because Statement 5 is incorrect. If the basis is
negative, a trader would make a profit by “buying the basis”—that is,
purchasing (not selling) the bond and shorting (not buying) the futures.
basis这个知识点在讲义哪里出现过？谢谢
