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LOS b, (Part 2): Identify and explain the arbitrage situations which arise as a result of the convenience yield of commodity spreads. ffice ffice" />
Q1. Which of the following statements regarding commodity spreads is least accurate?
A) A trader creates a crush spread by holding a long position in soybeans and a short position in soybean meal and soybean oil.
B) A commodity spread results from a commodity that is an input in the production process of other commodities.
C) The difference in prices of crude oil, heating oil, and gasoline is known as a crush spread.
Correct answer is C)
The difference in prices of crude oil, heating oil, and gasoline is known as a crack spread.
Q2. A trader in soybean futures contracts has discovered an arbitrage opportunity involving soybean futures and futures on soybean meal and soybean oil. Of the following, this most likely can occur with a:
A) crack spread by holding a long position in soybeans and a long position in soybean meal and short position in soybean oil.
B) crush spread by holding a short position in soybeans and a long position in soybean meal and soybean oil.
C) crack spread by holding a long position in soybeans and a long position in soybean meal and soybean oil.
Correct answer is B)
The only possible answer is a position in the input (e.g., short) and the opposite position (long in this case) in both of the outputs. This is called a crush spread.
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发表于 2009-3-11 10:44
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