NO.PZ2020012001000040
问题如下:
On January 15 of Year 1, a company decides to hedge the sell of 100,000 bushels of corn on February 15 of Year 2. The following table gives futures prices (cents per bushel) of three selected contracts on four different dates. Explain how the company can use the contracts to create the required hedge. What is the net (after hedging) price received for the corn as a function of the spot price on Febru-ary 15 of Year 2? Each corn contract is on 5,000 bushels.
解释:
The company should short 20 May contracts on January 15 of Year 1 and close them out by buying 20 May contracts on April 15 of Year 1. It should short 20 September contracts on April 15 of Year 1 and close them out by buying 20 September contracts on August 15 of Year 1. It should short 20 March contracts on August 15 of Year 1 and close them out on February 15 of Year 2. The gain on the short positions in cents per bushel is
(300 - 320) + (330 - 320) + (325 - 300) = 15
The price received is therefore S + 15 cents per bushel, where S is the spot price on February 15 of Year 2.
老师,您说这个同学的红线话从总收益的角度是正确的,但是我不太明白,最后short futures平仓,期货头寸变成0了,总共赚了15,一开始未来就是计划sell spot ,所以卖出货物收到市场价格S,总收益应该是S+15啊?