题目
On January 1, a risk manager observes that the one-year continuously compounded interest rate is 5% and storage costs of a commodity product A is USD 0.05 per quarter (payable at each quarter end). He further observes the following forward prices for product A:「huixue_img/importSubject/1564169522779394048.png」Given the following explanation of supply and demand for commodity product A, how would you best describe its forward price curve form June to December?
选项
A.Backwardation as the supply of product A is expected to decline after summer.
B.Contango as the supply of product A is expected to decline after summer.
C.Contango as there is excess demand for product A in early summer.
D.Backwardation as there is excess demand for product A in early summer.
答案
D
解析
From June to December, prices go down, which is backwardation. June prices are abnormally high because of excess demand, which pushes prices up. Because of demand of the commodity rises sharply in June, The price of the commodity will be up.backwardation和contango有两种判断方法。一种是正反向市场的判断（判断F与S的大小关系），当远期价格大于现货价格，此为正常市场，称为期货升水contango。反之，类此。另一种是期货价格走势的判断方法。backwardation 走势向下，backwardation出现的原因是这种商品在市场上供大于求，价格走低。本题，after summer是 8、9月份之后，所以根据走势，A错误。 供给下降会导致F价格上升。