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光猪宋两利 · 2024年03月31日

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  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012005000044

问题如下：

Which of the following statements regarding index arbitrage is correct?

I.If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

II.If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

III.If an index futures price is less than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

IV.If an index futures price is greater than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

选项：

A.

I, II

B.

III，IV

C.

II，IV

D.

None of these statements is correct.

解释：

If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

Only statements I and II are correct.

第一个情况 市场价比理论值高，那么他未来市场价应该向理论值回归，也就是下跌对么？ 那么采取的行动不应该是现在卖掉，后面等他跌了再买回来吗？为什么答案是先买后卖呢？

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pzqa39 · 2024年03月31日

嗨，从没放弃的小努力你好：


当前futures的价格比理论价格高，futures的价格是约定好的未来买入这个基础资产股票的价格，现在futures高，代表合同里约定的未来买股票的价格高，实际的股票价格低，说明futures是被高估了，对于高估的产品我们是要卖的，所以我们可以卖出这个高估的futures，同时买入股票。

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