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tristabo · 2024年05月15日

strengthen of basis为什是short futures获益

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000015

问题如下：

Which of the following statements is/are true with respect to basis risk?

I. Basis risk arises in cross-hedging strategies, but there is no basis risk when the underlying asset and hedge asset are identical.

II. A short hedge position benefits from unexpected strengthening of basis.

III. A long hedge position benefits from unexpected strengthening of basis.

选项：

A.

  I and II

B.

  I and III

C.

  II only

D.

  Ill only

解释：

ANSWER: C

Basis risk can arise if the maturities are different, so answer I. is incorrect. A short hedge position is long the basis, which means that it benefits when the basis strengthens, because this means that the futures price drops relative to the spot price, which generates a profit.

Strengthen of basis是指t时刻，现货价格大于期货价格，为什么这个情况是short futures会获益呢？可以具体解释下逻辑关系吗？

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2 个答案

pzqa39 · 2024年05月16日

嗨，从没放弃的小努力你好：


卖东西，我担心价格下跌 t0时刻 签一个short futures +F1

t1时刻 签一个反向合约long futures 来hedge -F2

t1时刻 在市场上以当时的spot rate卖商品 +S2

net payoff=F1-F2+S2=F1+basis basis=S2-F2

strengthen表示basis上升，如果basis上升，我的net payoff也就是我卖东西收到的钱会变多

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pzqa39 · 2024年05月16日

嗨，爱思考的PZer你好：


II说的是基差变大的时候。卖空套期保值会赚钱。首先要理解基差(basis) = 现货价格-期货价格，这个基差如果变大，说明期货价格相对于现货价格在走弱。无外乎两种情况：1. 期货跌的比现货多，那么我们做空期货（卖空套期保值就是针对现货做空等量的期货）赚的钱比现货亏的钱要多，总体是盈利的；2. 期货涨的比现货少，那么我们现货赚的钱也比期货亏的钱要多，总体依然盈利。


总而言之，基差变大，对于short hedge的总仓位是有好处的。


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tristabo · 2024年05月16日

这个解答我在之前问答中看过一模一样的答案了，就是不理解在现货价格比期货价格长得多的情况下，是怎么在现货和期货市场上交易的

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