题目
A buffalo farmer is concerned that the price he can get for his buffalo herd will be less than he has forecasted. To protect himself from price declines in the herd, the farmer has decided to hedge with live cattle futures. Specifically, he has entered into the appropriate number of cattle future positions for September delivery that he believes will help offset any buffalo price declines during the winter slaughter season. The appropriate position and the likely sources of basis risk in the hedge are, respectively:
选项
A.Short; choice of futures delivery date.
B.Short; choice of futures asset.
C.Short; choice of futures delivery date and asset.
D.Long; choice of futures delivery date and asset.
答案
C
解析
The farmer needs to be short the futures contracts. The two sources of basis risk confronting the farmer will result from the fact that he is using a cattle contract to offset the price movement of his buffalo herd, Cattle prices and buffalo prices may not be perfectly positively correlated. As a result, the correlation between buffalo and cattle prices will have an impact on the basis of the cattle futures contract and spot buffalo meat. The delivery date is a problem in this situation, because the farmer’s hedge horizon is winter, which probably will not commence until December or January. In order to maintain a hedge during this period, the farmer will have to enter into another futures contract, which will introduce an additional source of basis risk. 期货合约刚开始被设计出来是对冲风险用的。农户怕未来价格下跌，那就做空期货，如果未来真的下跌，现货上亏钱，期货上赚钱，两相抵消，对冲掉风险。所以这边应该是short。 基差风险的两个主要来源就是标的资产不一致、期限不一致。