unexpected-weakening

  1. Nicole Seaman

    YouTube T3-05: Basis risk is about an unexpected weakening or strengthening

    Basis = Spot price - Futures price; i.e., b(0) = S(0) - F(0, t). Unexpected weakening (strengthening) of the basis helps (hurts) the long hedger. David's XLS is here: http://trtl.bz/2trHMzs
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