《外汇交易实战图表与交易心理 》 作 者：(新加坡)许强 (美国)Gary Weiss

The goal of basis trading in this particular instance was to try and maximize the spread or carry differential by buying spot selling futures at lets say greater than the implied 15%，or conversely selling spot, buying futures at a rate less than the implied 15% carry. This is fairly simple to understand, when looking at the big picture of an overall trading strategy, but for someone watching only one side of the trading activity, all sorts of erroneous conclusions can be drawn. And this was the classic case.

While on my pedestal shouting orders into the pit, generally, I was a seller of futures. This, of course was due to the fact that the trader on the silver cash desk (the other side of my phone line) was long the spot, and I was covering this by selling futures, at hopefully a wide basis. But，for all the world to see, at least as far as the commodity exchange floor was concerned, I was getting shorter and shorter in what was to be the greatest rising; bull market ifl histoiy. At first，people looked at me with confusion, then concern, and finally as silver started rising upwards of 30 dollars an ounce, pity. In fact，the idea that everyone assumed I was so incredibly short silver, and eventually would have to cover, actually lead people to reason that the price of silver would have to continually go up. Here of course is the ultimate irony. By actually selling futures, I was putting on basis swaps against the cash market at rates implied in the mid to high 20% carry range，making a huge amount of money while looking for all the world to see, like quite possibly the stupidest trader on the planet.

The question of course, as to why the basis was trading over the implied interest rate carry has a lot to do with the general chaos that prevailed during this period of time. For example a 15% carry with spot being at 10 dollars an ounce e quates to approximately 38 cents for each three month period. But what if the base price were to be measured from let's say 30 dollars an ounce. Here, this same 15% three month carry would equate to approximately 1.125 dollars. This significant difference is effectively the market's way of saying that even though the present cany, in interest rate terms, may be one price; the market believes strongly that the base price will increase significantly. Therefore, that bias is reflected in the increased valuation of the basis.

Understanding this subtle pricing dynamic in the case of silver prices in the early 1980*s lead to the possibility of making substantial money trading the swaps. But for the more discerning observer, the basis measurement could quite possibly have also given an indication as to where the market perceived that the base commodity would eventually trade. This is the same today for virtually any trading commodity or currency. The basis, or swap differential can often times be used as a gauge to measure the market sentiment. By understanding that the interest rate spread is only one part of this price, anything above or below this measurement can be construed as a measurement of market bias.

As a point of reference, the commodity house where I traded actually did quite well during the great metals run up in the early 1980’s. Mostly however, this was done through trading hedged as opposed to outright long positions and watching the carry component of the swap.

This story is relevant on two levels however. First, as with other points that have been mentioned, the price of any trading vehicle usually has many different determinant factors. Second however, and actually more important, is the idea that unless you are aware of many points that relate to the pricing of any particular asset, conclusions about that price can often times prove erroneous.

名词解释

Basis:基差，避险者所以能够利用期货交易规避现货 价格风险，在于现货与期货的价格间存在一定的间距关系， 称之为基差（basis)。基差为现货价格减去期货价格之值， 因为储存成本、保险利息等费用，期货价格通常较现货价 格为高，故基差多为负数。

Artificial cross rate:人工汇率，随着欧洲汇率体系的 生效，西欧各国便被结为一体，他们的货币不再盯住黄金 或是美元——而是相互盯住，每一种货币只在波动界限的 范围内交易。如果任何一种货币达到了波动界限的上限或 下限，那么，各国中央银行就有责任通过买卖使该货币回到波动范围之内。在此范围内，成员国的货币对其他成员 国货币的汇率可以相对浮动，并且要以德国马克为中心货 币。

Hedge Fund:对冲基金，意为风险对冲过的基金，起 源于20世纪50年代初的美国。其操作的宗旨，在于利用 期货、期权等金融衍生产品以及对相关联的不同股票进行 实f空卖、风险对冲的操作技巧，在一定程度上可规避和 化解投资风险。