NO.PZ2023091802000056
问题如下：
An oil producer has an obligation under an
agreement to supply one million barrels of oil at a
fixed price.
The producer wishes to hedge this liability using futures in order to address the possibility of an upward movement in oil prices. In comparing a strip hedge to a stack and roll hedge, which of the following statements is correct? (Practice Exam)
选项：
A.A stack and roll hedge tends to involve fewer transactions.
B.A strip hedge tends to have smaller bid-ask spreads.
C.A stack and roll hedge tends to have greater liquidity.
D.A strip hedge tends to realize gains and losses more frequently.
解释：
A strip
hedge involves one-time buying of futures contracts to match the maturity of
liabilities, whereas the stack and roll hedge involves multiple purchases over
time. A strip hedge tends to have wider bid- ask spreads due to the use of
longer maturity contracts. A strip hedge also tends to have lesser liquidity
than a stack and roll hedge due to longer maturity contracts. Both a strip
hedge and stack and roll hedge would realize gains/losses daily using futures.
strip、stack hedge
