NO.PZ2023091802000055
问题如下：
An oil producer has an
obligation under an agreement to supply 75,000 barrels of oil every month for
one year at a fixed price. He wishes to hedge his liability to address the
event of an upward surge in oil prices. The producer has opted for a stack and
roll hedge rather than a strip hedge. Which of the following two statements are
correct?
I. A strip hedge increases
transaction costs owing to active trading each month.
II. A strip hedge tends to have wider bid-ask spreads as compared to a stack & roll hedge.
选项：
A.I only
B.II only
C.I and II
D.Neither
解释：
Statement II is correct. A strip hedge tends to have lower liquidity
and wider bid-ask spreads owing to longer maturity contracts.
A strip hedge involves hedging a stream of
obligations by offsetting each individual obligation with a futures contract
matching the maturity and quantity of the obligation. Stacking futures
contracts in the near-term contract and rolling over into the new near-term
contracts is referred to as a stack and roll.
Statement I is incorrect. A strip hedge
involves one time buying of futures contracts to match the maturity of
liabilities.
请问这个考点再讲义的第几页呀
