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Hazel · 2024年03月27日

请问D错在哪呀?

NO.PZ2023091802000059

问题如下:

A commodities trader observes quotes for futures contracts as follow:

This commodity is trading:

选项:

A.

As a normal futures market since the futures prices are consistent with the commodity’s seasonality.

B.

As an inverted futures market since more distant delivery contracts are trading at lower prices than nearer-term ones.

C.

As a normal futures market because it is typical for more distant delivery contracts to trade lower than nearer-term delivery contracts.

D.

Consistently with convergence as futures prices will rise when the delivery period nears.

解释:

可以解释一下这道题吗?

1 个答案

pzqa39 · 2024年03月27日

嗨,爱思考的PZer你好:


D选项,如果要看期货价格是否会回归现货价格,需要知道14年7月、10月和12月的现货价格,题目给出的条件是看不出convergence的,convergence指的是在T时刻期货价格会回归现货价格,题目只给了0时刻的现货价格,无法判断。所以D选项错误。

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