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Ryoooh · 2020年03月08日

问一道题：NO.PZ2020012001000017 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

Suppose that on a particular day there are 3,000 trades in a futures contract. Of the buyers in those 3,000 trades, 1,800 were closing out positions and 1,200 were taking new positions. Of the sellers in those 3,000 trades, 1,400 were closing out positions and 1,600 were taking new positions. What is the change in open interest during the day? Does it increase or decrease?

解释：

The open interest goes down by 200. This is because there are 1,200 new long positions and 1,400 long positions are closed out (with short trades). Alternatively, there are 1,600 new short positions and 1,400 are closed out (with long trades).

老师好～ 看了之前同学的提问和老师的解答，不是很明白的一点就是：为什么不能直接拿closing的1400和1800做net off。因为李老师上课说了交易是有买有买，证明净头寸long的部分少了400，同时当天new position的short头寸增加400. 我的思路的问题出在哪里呢？
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袁园_品职助教 · 2020年03月08日

同学你好！

long 的那一方里 1800 是在closing他们之前的 short 头寸

short 的那一方里 1400 是在closing他们之前的 long 头寸

所以用这两个数字直接相减是没有意义的。

由于交易有买有卖，我们最好只从一方来思考这个问题，例如从之前站在 long那一方来看，他们就是今天的 short 方，close 掉了 1400，但是同时今天新增了1200个long，所以 long 方的变化量就是 -1400+1200 = -200，即减少了 200

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NO.PZ2020012001000017问题如下Suppose thon a particuly there are 3,000 tras in a futures contract. Of the buyers in those 3,000 tras, 1,800 were closing out positions an1,200 were taking new positions. Of the sellers in those 3,000 tras, 1,400 were closing out positions an1,600 were taking new positions. Whis the change in open interest ring the y? es it increase or crease? The open interest goes wn 200. This is because there are 1,200 new long positions an1,400 long positions are closeout (with short tras). Alternatively, there are 1,800 new short positions an1,600 are closeout (with long tras). 就是新签即买卖双方分别是1200和1600，双方交易1600—1200=400由于买卖是翻倍的合约400除以2=200这样理解对吗

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NO.PZ2020012001000017为什么要从sell方分析？从买方分析要怎么算？买方close out1800为什么不能减去新签的得加400份？

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