- 基差
- 價差
基差Basic
basic = spot price - futures price
期貨價差
可以從期交所「委託單種介紹」中的-期貨時間價差委託 (期貨跨月價差委託) 可以得知
價差 = 遠月期貨價格 - 近月期貨價格
- 買進價差(buy spread):買遠(月份)賣近(月份)
- 賣出價差(sell spread):賣遠(月份)買近(月份)
基差變化多空的影響
※基差變化(絕對值)
多頭避險Long Hedge | 空頭避險Short Hedge | |
正常市場 | 變大有利 | 變小有利 |
逆價市場 | 變小有利 | 變大有利 |
Example1. Normal Market
Normal Market / Contango Market | ||
t0 | t1 | |
Futures | 10 | 11 |
Spot | 9 | 9 |
spread | 1 | 2 |
- buy spread
t0:buy spread imply buy F at 10 and sell S at 9
t1:sell spread sell F earn 1 (-10+11) and buy S earn 0 (9-9)
- sell spread
t0:sell spread imply sell F at 10 and buy S at 9
t1:sell spread buy F earn -1 (10-11) and sell S earn 0 (-9+9)
Example2. Inverted Market
Inverted Market / Backwardation Market | ||
t0 | t1 | |
Futures | 9 | 9 |
Spot | 10 | 11 |
spread | -1 | -2 |
- buy spread
t0:buy spread imply buy F at 9 and sell S at 10
t1:sell spread sell F earn 0 (9-9) and buy S earn -1 (10-11)
- sell spread
t0:sell spread imply sell F at 9 and buy S at 10
t1:sell spread buy F earn 0 (-9+10) and sell S earn 1 (-10+11)
tip
買賣價差仍像一般金融商品價格,只不過價格有負的情形。以買價差的情形來說,買在-50賣在-100則虧50點(50-100) (此處以現金流量考量買在-50時要付出- - 50 則 50 ,賣在-100則收-100進來)