题目
Which of the following statements are true with respect to basis risk? I Basis risk arises in cross-hedging strategies but there is no basis risk when the underlying asset and hedge asset are identical. II Short hedge position benefits from unexpected strengthening of basis. III Long hedge position benefits from unexpected strengthening of basis.
选项
A.I and II
B.I and III
C.II only
D.III only
答案
C
解析
An increase in basis is known as a strengthening of the basis. The payoff to the short hedge position is spot price at maturity S2 and the difference between futures price i.e., (F1-F2). Thus, payoff =F1+b2. A short hedge position benefits from strengthening of basis.基差的增加被称为基差增强。Short hedge的回报是到期时的现货价格和期货价格之差，因此，收益= F1＋b2。Short hedge头寸在基差增强时获利。