Flower
2024-07-14 21:30If 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.怎么理解
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2024-07-15 13:23
該回答已被題主采納
同學(xué)，上午好。
basis=現(xiàn)貨價(jià)格-期貨價(jià)格
1. 如果basis＞0，即現(xiàn)貨價(jià)格高于期貨，而隨著到期日接近，現(xiàn)貨和期貨價(jià)格會(huì)趨于一致，所以應(yīng)該賣(mài)出現(xiàn)貨，買(mǎi)進(jìn)期貨。這種操作也叫sell the basis。
2．相反，如果basis＜0 ，應(yīng)該買(mǎi)現(xiàn)貨，賣(mài)期貨，這個(gè)操作也叫做buy the basis。（basis會(huì)隨著時(shí)間變化歸0，所以negative時(shí)，就買(mǎi)入，之后會(huì)從負(fù)漲到0。）
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