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葛文君 · 2020年09月29日

问一道题：NO.PZ2020012005000044 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

Which of the following statements regarding index arbitrage is correct?

I.If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

II.If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

III.If an index futures price is less than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

IV.If an index futures price is greater than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

选项：

A.

I, II

B.

III，IV

C.

II，IV

D.

None of these statements is correct.

解释：

If an index futures price is greater than its theoretical value, an arbitrageur can buy the portfolio of stocks underlying the index and sell the futures.

If an index futures price is less than the theoretical price, the arbitrageur can short the stocks underlying the index and take along futures position.

Only statements I and II are correct.

i可以理解为买低卖高，ii怎么理解？是说future price以后会涨吗？
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1 个答案

小刘_品职助教 · 2020年09月29日

同学你好，

statements II也是买低卖高。因为当前的future价格比理论价值低，所以相较它对应的标的而言他是被低估了，应该买，然后卖出对应的标的，就能获得无风险价格。

比如A股票1股10块，B股票1股12块。现在A股票和B股票组成的future的价格是20块，那你应该买入future花20块，卖出A股票和B股票，可以得22块，这个套利就有2块。

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