Finance 基差與期貨價差

  • 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)

 

Reference