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书小儿 · 2024年09月24日

看不懂什么叫相当于

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012001000033

问题如下：

20 futures contracts are used to hedge an exposure to the price of soybeans. Each futures contract is on 5,000 bushels. At the time the hedge is closed out, the basis is 20 cents per bushel. What is the effect of the basis on the hedger if (a) the purchase of soybeans is being hedged and (b) the sale of soybeans is being hedged?

解释：

The basis increases the net price after hedging by 20 * 5,000 * USD 0.20 or USD 20,000. In (a) this is an extra cost to the hedger. In (b) it is an extra amount received from the sale of soybeans.

老师，我真的不太懂这个逻辑，就是我未来要买大豆，担心价格上涨，好……我long一个期货，这里我知道，然后说basis risk是20，正数，所以是我的现货价格涨幅要快过期货涨幅，那我应该是对冲风险对了呀，为什么我反而增加了成本？？我总觉得我哪里的逻辑不对



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pzqa39 · 2024年09月24日

嗨，从没放弃的小努力你好：


你担心未来买大豆时价格上涨，于是你“long”了一个期货合约，这个操作是为了锁定未来的购买成本。如果现货和期货价格同步上涨，那么你通过期货赚的钱可以抵消在现货市场中额外支付的费用，这样对冲就完全成功了。

 

但是，基差风险是指现货价格和期货价格的波动并不是完全同步的。当基差为正（20美分），也就是说现货价格比期货价格上涨得更快。这意味着：

 

现货市场：大豆的现货价格上涨了1美元。

期货市场：由于基差存在，期货价格只上涨了80美分。

因此，虽然期货价格上涨了，你通过期货合约赚了80美分，但你在现货市场中仍需要多付1美元。这就导致你净损失了20美分。

 

所以，虽然对冲部分减少了你的损失，但由于基差的存在，现货和期货价格上涨的幅度不一致，你并没有完全对冲掉现货价格上涨带来的风险，反而多付了一部分成本，这就是基差风险增加了成本的原因。

 

总结一下就是：你对冲了大部分的价格上涨风险，但由于基差为正，现货价格涨得比期货价格快，导致你没有完全对冲掉这部分上涨，从而多出了额外的成本。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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