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SkipperLin · 2020年03月16日

问一道题：NO.PZ2020012001000033

  1. FRM I
  2. Financial Markets And Products

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?

选项：

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.

请问一下为什么这个basis是cost for the long position, and gain for the short position?

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小刘_品职助教 · 2020年03月17日

同学你好，

basis=SP-FP

对于（a)情况来说，hedge的方向是需要long futures，到期结算的时候相当于卖FP，买入SP，basis>0的时候，在结算的时候就是个亏损，所以是是cost for the long position。

相反方向的话也是一样的道理。

小刘_品职助教 · 2020年03月19日

同学你好，

您理解得有点偏差，这道题是说未来要买大豆，为了防止价格的上涨，所以选择的是long futures。假设如果是你这么说的话，现在已经买好大豆了，那就没什么要hedge了，因为你已经确定好价格了。

he123456 · 2022年03月10日

我也认为现在已经买好大豆了，那么担心未来价格下跌，所以short futures，得到一个F,同时已经买好大豆了S0，同样是FP-S0，basis＞0时是个亏损

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