题目
Which of the following trade（ ） contain basis risk? I Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Nov 07 NYMEX WTI Crude Oil contracts. II Long 1,000 lots Nov 07 ICE Brent Oil contracts and long 2,000 lots Nov 07 ICE Brent Oil at-the-money put. III Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 ICE Brent Oil contracts. IV Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 NYMEX WTI Crude Oil contracts.
选项
A.II and IV only
B.I and III only
C.I, III and IV only
D.III and IV only
答案
C
解析
There is mainly basis risk for positions that are both long and short either different months or contracts. Position II is long twice the same contract and thus has no basis risk (but a lot of directional risk).基差风险的主要来源：标的不一致、期限不匹配