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宇 · 2020年03月17日

问一道题:NO.PZ2018062007000090 [ CFA I ]

问题如下:

Which of the following statements explains a characteristic of futures price limits? Price limits:

选项:

A.

help the clearinghouse manage its credit exposure.

B.

can typically be expanded intra- day by willing traders.

C.

establish a band around the final trade of the previous day.

解释:

A is correct. Price limits are important in helping the clearinghouse manage its credit exposure. Sharply moving prices make it more difficult for the clearinghouse to collect from parties losing money. B is incorrect because typically the exchange rules allow for an expansion of price limits the next day (not intra- day) if traders are willing. C is incorrect because price limits establish a band relative to the previous day’s settlement price (not final trade). 14

C什么意思?老师,,,,
1 个答案

xiaowan_品职助教 · 2020年03月17日

嗨,爱思考的PZer你好:


同学你好,这道题是讨论期货价格限制的规则问题,我们可以理解成涨跌停板制度,

C选项是说价格限制的计算是基于前一个交易日的最后一笔交易指定的,这是不对的,因为当日的期货涨跌停板价格是基于前一日的结算价,而不是收盘价。结算价是根据前一天多笔交易的价格加权平均而成。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!