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Clare · 2022年03月15日

老师好请问低买高卖针对的是futures 对吧，我以为是标的资产

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020012005000044

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.

老师好请问低买高卖针对的是futures 对吧，我以为是标的资产

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DD仔_品职助教 · 2022年03月15日

嗨，努力学习的PZer你好：


同学你好，

futures的价格也是定的基础资产的价格，定的是在未来可以以一个约定好的价格去买基础资产。

例如I，futures价格高于理论价格，代表的是futures里约定好的未来购买基础资产的价格是高于这个基础资产的价格的，那么我们的套利就是，直接以低价买入这个基础资产，然后卖出futures，代表未来可以以约定好的更高的价格卖出基础资产。

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