NO.PZ201601050100001707
问题如下：
Which of Whitacre’s two statements regarding bond futures arbitrage is
correct?
选项：
A.Only Statement 4
Only Statement 5
Both Statement 4 and Statement 5
解释：
A is correct.
If the basis is positive, a trader would make a profit by “selling the basis”—that is, selling the bond and buying the futures. In contrast, when the basis is negative, the trader would make a profit by “buying the basis,” in which the trader would purchase the bond and short the futures.
B is incorrect because Statement 5 is incorrect. If the basis is negative, a trader would make a profit by “buying the basis”—that is, purchasing (not selling) the bond and shorting (not buying) the futures.
C is incorrect because Statement 5 is incorrect. If the basis is negative, a trader
would make a profit by “buying the basis”—that is, purchasing (not selling) the
bond and shorting (not buying) the futures.
中文解析：
如果basis为正，则应该sell the basis，具体来说就是卖出债券，买入债券期货合约。
如果basis 为负，则应该buy the basis，具体来说就是买入债券，卖出对应的债券期货合约。
因此只有表述4是正确的，选择A。
首先呢，basis=现货价格-期货价格, 而且现货和期货价格最后是要趋同的，如果二者不等，就存在套利机会。所以当basis为负数的时候，就是现货高于期货价格，
