# 商品期货：从采购和销售出发 由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。 Entry: zh-p21 | Node: P21 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 请先实际读取本篇必读原件的指定完整单元，再围绕“由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。”带我完成学习。先让我自己判断方向、对象或基准，再让我逐步重建一项承重计算；不要先把答案全部说出。选读分支只有我选中后才启用对应原件和输入。每次解释都分清真实规则、教学假设、作者报告与本站复算。逐事件核现金、负债、费用和剩余仓位；资金不足时停止已完成结果。使用本包正文里的完整解析反馈我哪里错、为什么、如何迁移。未来runtime_reading_log由你实际读取后填写，不能把作者或支持者日志当成自己的阅读。不要接触账户或更新冻结数据。 Before substantive teaching, actually retrieve every required reading unit for the selected scope. Read its complete designated section, including necessary assumptions, tables and footnotes. A working URL or an editorial access date is not a runtime reading receipt. Record the actual version, location, scope and what it supports. If unavailable, use a previously verified equivalent source; if the required unit remains unavailable, identify that gap rather than teach it from memory. Start runtime_reading_log empty. Once reading is complete, use a substantive diagnostic or follow the reader's request for direct explanation. Advance one complete reasoning task at a time; skip mastered basics. Distinguish original facts, supplied teaching assumptions and inference. ## Required readings and runtime protocol ```json { "export_mode": "public", "entry_id": "zh-p21", "learning_task": "由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。", "required_readings": [ { "source_id": "MP-CME-GRAIN", "title": "Self-Study Guide to Hedging with Grain and Oilseed Futures and Options", "authors": [ "CME Group" ], "version": "归档教学指南，2026-09-21读取", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/trading/agricultural/files/grain-oilseed-hedgers-guide.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "ch2 printed pp9–14 / PDF pp11–16；ch3 printed pp17–22 / PDF pp19–24；margin pp6–7", "scope": "采购与销售方向、价量原例及当地基差。", "purpose": "由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。" }, "supports": "采购与销售方向、价量原例及当地基差。", "limits": "公开教学例非企业实盘；p21上涨情景+.10应为+.05，p22−.02不为gain。" }, { "source_id": "PI-CME-CORN", "title": "CBOT Rulebook Chapter 10: Corn Futures", "authors": [ "CME Group / CBOT" ], "version": "2026-09-21访问规则", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/rulebook/CBOT/I/10.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§10100–10104", "scope": "5,000蒲式耳、基准等级及规格边界。", "purpose": "由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。" }, "supports": "5,000蒲式耳、基准等级及规格边界。", "limits": "不把所有地点、等级、交期的现货当作同一种无差别资产。" }, { "source_id": "MD-S05", "title": "Money Calculations for CME-cleared Futures and Options", "authors": [ "CME Group" ], "version": "2015-06-11", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "pp1–3普通期货变动现金完整单元", "scope": "逐日价格变动、乘数、现金与结算口径。", "purpose": "由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。" }, "supports": "逐日价格变动、乘数、现金与结算口径。", "limits": "清算层计算不等于某客户的资金时点与house margin。" } ], "optional_readings": [], "runtime_reading_log": [], "supplied_inputs": { "case_inputs": [ { "id": "CME-GRAIN-TEACHING", "owner": "P21", "consumers": [ "P21", "P23", "P24" ], "version": "final-20260921", "unit": { "price": "USD/bushel", "quantity": "bushels", "contract": "5000 bushels" }, "identity": "CME teaching illustration plus current corn contract identity; not an enterprise execution.", "defaults": { "procurement": { "quantity": 15000, "initial_futures": 5.75, "contracts_long": 3, "outcomes": [ { "futures": 6.25, "cash": 6.2, "futures_pnl": 7500, "effective_unit_price": 5.7 }, { "futures": 5.45, "cash": 5.45, "futures_pnl": -4500, "effective_unit_price": 5.75 }, { "futures": 6.03, "cash": 6.1, "futures_pnl": 4200, "effective_unit_price": 5.82 } ] }, "sales": { "quantity": 20000, "initial_futures": 5.7, "contracts_short": 4, "production_cost": 5.1, "outcomes": [ { "futures": 5.2, "cash": 5.05, "futures_pnl": 10000, "effective_unit_price": 5.55, "business_profit": 9000 }, { "futures": 5.9, "cash": 5.7, "futures_pnl": -4000, "effective_unit_price": 5.5, "business_profit": 8000 }, { "futures": 5.37, "cash": 5.1, "futures_pnl": 6600, "effective_unit_price": 5.43, "business_profit": 6600 } ] } }, "source_corrections": [ "printed p21: basis -0.25→-0.20 is +0.05, not +0.10", "printed p22: basis -0.25→-0.27 is -0.02, not a gain" ], "branch_boundaries": { "quantity_mismatch": "Show uncovered/excess futures exposure.", "quality_location": "Contract unit does not eliminate local basis." } } ], "operational_details": {}, "static_default_result": { "unit": "USD", "side": "procurement", "quantity": 15000, "hedged_quantity": 15000, "excess_quantity": 0, "futures_pnl": 7500, "physical_cash": 93000, "effective_cash": 85500, "effective_price": 5.7, "basis": -0.04999999999999982, "price": 6.2, "futures": 6.25, "initial_futures": 5.75, "production_cost": null, "business_profit": null }, "attachments": [], "default_scope": "core", "branch_rule": "复制或学习只带本篇及所选分支需要的附件，完整大数组只在shared中保存一次。", "case_scopes": { "CME-GRAIN-TEACHING": "core" }, "operational_scopes": {}, "frozen_inputs_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/final-shared-inputs.json", "reproduction_data_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/runtime-inputs.json" }, "source_id_aliases": { "PE-CME-MES": "MA-MES", "MP-CME-GRAIN": "MP-CME-GRAIN", "PI-CME-CORN": "PI-CME-CORN", "MP-CME-3Y": "MP-CME-3Y", "MP-CME-TREAS": "MP-CME-TREAS", "MD-S05": "MD-S05", "MD-S08": "MD-S08", "PE-FSB-MARGIN": "MA-FSB", "PI-CME-EUR": "PI-CME-EUR", "PI-MIT-CAPM03": "PI-MIT-CAPM03", "PI-MIT-CAPM08": "P-R04b", "PI-FRENCH-FACTORS": "PI-FRENCH-FACTORS", "QTDE-FRENCH": "QTC-FRENCH30", "QTDE-FRENCH-REGIME": "QTC-FRENCH", "PI-GIPS20": "P-R03", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025", "QTDE-TSCV": "QS02-5.10", "QGHI-MIT-BS13": "QGHI-MIT-BS13", "MD-S01": "MD-S01", "MOD-CRYPTO-CARRY": "MOD-CRYPTO-CARRY", "MOD-PERP-PAPER": "MOD-PERP-PAPER", "MOD-BYBIT-FUNDING": "MOD-BYBIT-FUNDING", "PI-BYBIT-FEE": "PI-BYBIT-FEE", "MOD-BYBIT-PNL": "MOD-BYBIT-PNL", "PI-CME-MBT": "PI-CME-MBT", "PI-CME-CRYPTO-FAQ": "PI-CME-CRYPTO-FAQ", "MOD-LVR": "MOD-LVR", "MOD-UNISWAP-V3": "MOD-UNISWAP-V3" } } ``` ## Supplied entry 同一份期货，采购者可能做多，生产者却可能做空。两者并不矛盾，因为他们要保护的不是同一个现金流。我们先把经营问题写出来，再推导对冲。本篇完成后，你应能把期货赚亏放回实物采购或销售中，算出有效单价，也能指出数量、交期和当地基差留下的风险。 主例来自CME粮食与油籽自学指南，是交易所的公开教学案例，不是某家企业已经执行的交易。金额为美元，数量为蒲式耳（bushel）。CBOT玉米标准期货每张5,000蒲式耳；交割等级以No.2 Yellow为基准，其他允许等级有规定差价。合约数量相同，并不意味着当地不同品质、地点与交期的现货完全相同。[^grain][^corn] ## 1. 谁在什么时候付钱？ 饲料采购者计划将来买15,000蒲式耳玉米。还没有购买时，他担心的是未来采购价上涨；可以先做多期货，让期货上涨时的收入抵消一部分更高的现货支出。种植者准备出售20,000蒲式耳，则担心未来售价下降；可以先做空，让期货下跌时的收入抵消较低的销售收入。 这两个安排都不能脱离实物目标。采购取消以后仍保留期货多头，它就不再与原经营付款相配；实际收成减少以后空头数量不变，也可能变成超量对冲。所谓“对冲仓位”，是仓位与另一项敞口之间的关系，不是合约名称上的永久属性。 交易所把规格、交割规则和合约月份标准化。企业却有自己的采购地点、品质、数量和付款日。真实实施应选能覆盖风险期间的合约，并在不准备交割时及时平仓或换月；不能只挑一个看起来价格相近、但早于经营风险结束的月份。期货的涨跌来自市场，并不会替企业保证交货品质或供应商履约。 ## 2. 两个方向为什么得到同一个有效价格公式？ 令 $S_T$ 为退出时的当地现货价，$F_T$ 为同一时点所用期货价，定义当地基差 $b_T=S_T-F_T$。先假设实物数量与期货覆盖数量恰好相同，在采购或销售日同时退出期货，暂不计费用和资金利息。 采购者每单位实物付出 $S_T$，多头期货赚 $F_T-F_0$。因此有效采购成本是 $$ S_T-(F_T-F_0)=F_0+b_T. $$ 销售者每单位收到 $S_T$，空头期货赚 $F_0-F_T$，因此有效销售收入也是 $$ S_T+(F_0-F_T)=F_0+b_T. $$ 形式相同，不意味着“对冲没有方向”。采购把期货收入从支出中减去，销售把期货收入加到收入上；它们分别来自不同现金方向。这个等式还说明，期初确定的是 $F_0$，最终仍留下 $b_T$。期货与当地现货的共同价格风险被部分替换成基差风险，并非把任何价格都锁成一个固定数。
采购和销售两条现金链：先根据经营付款或收款确定期货方向。

从经营现金方向推出期货方向

数量、地点、品质和日期仍需分别匹配

  1. 采购：未来要付钱

    担心现货上涨 → 期货多头

    实物支出 − 期货所得 = 有效采购成本

  2. 销售：未来要收钱

    担心现货下跌 → 期货空头

    实物收入 + 期货所得 = 有效销售收入

  3. 共同剩余

    终点基差 b = S当地 − F

    数量全配且同日退出时，有效单价 = F0 + b

## 3. 采购15,000蒲式耳：逐项对账 CME采购例中的期货起点为5.75美元，覆盖15,000蒲式耳需要3张多头。若最终期货6.25、当地现货6.20，实物支付93,000，期货收入7,500，合并采购成本85,500，即5.70/蒲式耳。这里的5.70低于起点期货5.75，来自终点基差−0.05，不是期货凭空提供了折扣。 | 退出期货价 | 当地现货价 | 终点基差 | 实物付款 | 多头结果 | 有效单价 | |---:|---:|---:|---:|---:|---:| | 6.25 | 6.20 | −0.05 | 93,000 | +7,500 | 5.70 | | 5.45 | 5.45 | 0.00 | 81,750 | −4,500 | 5.75 | | 6.03 | 6.10 | +0.07 | 91,500 | +4,200 | 5.82 | 第二行尤其值得停下来想：期货亏了4,500，但实物也更便宜。若只把期货损失截出来看，会把经营对冲误读成失败的投机。第三行则提醒我们：期货盈利并不保证整体采购最便宜，因为当地基差也可能走向不利一侧。 案例中另有5.80的远期采购报价。若品质、地点、交期与信用条件可比，它给出另一种固定采购安排；可是三条期货情景没有概率，不能算个均值就宣布期货或远期更好。远期也可能要求抵押、信用额度或带取消条款。比较应回到合同，而不是只看标价。 ## 4. 销售20,000蒲式耳：把生产成本放回来 销售例从5.70的期货起点卖出4张。给定每蒲式耳生产成本5.10，原料/种植等成本总额102,000。先把销售收入与期货结果合并，再减生产成本： | 退出期货价 | 当地售价 | 基差 | 现货收入 | 空头结果 | 有效售价 | 减生产成本后利润 | |---:|---:|---:|---:|---:|---:|---:| | 5.20 | 5.05 | −0.15 | 101,000 | +10,000 | 5.55 | 9,000 | | 5.90 | 5.70 | −0.20 | 114,000 | −4,000 | 5.50 | 8,000 | | 5.37 | 5.10 | −0.27 | 102,000 | +6,600 | 5.43 | 6,600 | 原指南印刷p21右侧上涨情景把基差从−0.25到−0.20的变化写成0.10；按表中数字应为0.05。p22从−0.25到−0.27则是−0.02，不应称作gain。本表从原始价格重新求差，不继承这些标签。[^grain] 上述利润仍没有扣其他经营费用、交易费或融资利息。更重要的是，期货亏款可能先发生，销售收入后来才到。对冲后的有效售价是终点合并结果，不是经营中途随时可提取的现金。
六个原始价格状态的有效单价：剩余变化对应当地基差，不等于共同价格完全未对冲。

有效单价的变化来自剩余基差

CME原始教学状态；横轴1/2/3并非时间

美元/蒲式耳

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## 5. 数量改变时，把等式重新推一遍
令实际采购量为 $Q$，期货覆盖量为 $H=5,000N$。采购成本的一般式为 $$ C=QS_T-H(F_T-F_0),\qquad \frac{C}{Q}=S_T-\frac{H}{Q}(F_T-F_0). $$ 只有 $H=Q$ 时才简化为 $F_0+b_T$。先在实验中复原默认采购第一行，再将实际采购量改为12,000而保留3张。多出的3,000蒲式耳期货没有实物需求配对；上涨时可能让采购成本看起来更低，下跌时则可能增加额外亏损。它并不是“更有效的同一对冲”，而是多了一段净方向敞口。 数量和执行日期都要持续维护。采购延期意味着原合约可能提前结束风险覆盖；收成下降意味着原空头可能过量。减仓、换月、重新谈固定价采购都有代价，应该在新信息出现时比较，而不是直到到期才解释结果。 ## 6. 自测与解析 **解释题。** 当地采购价6.20，期货从5.75涨到6.25，多3张。有人说“总盈利7,500，所以采购风险消失”。如何改写？ 7,500只是期货单腿收入。企业仍要付93,000买货，合并成本85,500，等于5.70/蒲式耳。它仍承担数量、基差、品质、对手履约和中途资金风险。恰当结论是“在该数量匹配且能持有到退出的情景中，期货收入抵消了部分现货涨价”，不是无风险。 **迁移题。** 实际只买12,000蒲式耳，价格仍为6.20，期货仍按3张持有至6.25。有效单价是多少？若只持2张呢？ 3张时成本 $12,000\times6.20-7,500=66,900$，每单位5.575；2张时期货收入5,000，成本69,400，单价5.783333。前者更低只是这一次上涨恰好有利于过量多头，不能据此说3张在任何路径都更好。若期货下跌，超出需求的多头会反向增加损失。 **完成标准。** 给你一个经营量和支付日，能否先判断现金方向，再列合约数量、基差、实际付款以及未被覆盖的部分？能做到这一点，才是在分析经营对冲，而不是竞猜期货涨跌。 [^grain]: CME Group，[Self-Study Guide to Hedging with Grain and Oilseed Futures and Options](https://www.cmegroup.com/trading/agricultural/files/grain-oilseed-hedgers-guide.pdf)，ch2印刷pp9–14、ch3印刷pp17–22，采购/销售完整教学单元；数例未计交易及融资成本。 [^corn]: CME/CBOT，[Corn Futures，Chapter 10](https://www.cmegroup.com/rulebook/CBOT/I/10.pdf)，§10100–10104：合约单位、等级、报价与交易/交割月份的核心规则。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P21-CORN", "node_id": "P21", "title": "商品期货：从采购和销售出发", "anchor": "p21-lab", "description": "由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。", "inputs": { "frozen_ids": [ "CME-GRAIN-TEACHING" ], "operational_keys": [], "units": "逐字段以shared/final-shared-inputs.json与operational-inputs.json为准" }, "outputs": { "default_location": "agent_packet.supplied_inputs.static_default_result" }, "algorithm": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/engine.js; P26 consumes QT24 outputs without rerunning simulation.", "views": [ "经营方向与逐腿金额", "三种基差状态与数量失配" ], "boundaries": [ "真实规格不等于当前保证金或成交", "不得从终点补造未提供的资金路径", "输入无效即停止，不能沿用旧结果" ], "static_equivalent": { "figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/figures/P21-a.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/figures/P21-b.svg" ], "body_tables": true, "event_data": [] }, "input_controls": [ { "key": "side", "label": "经营身份", "type": "select", "default": "procurement", "options": [ { "value": "procurement", "label": "采购" }, { "value": "sales", "label": "销售" } ] }, { "key": "outcome", "label": "原例状态", "type": "selectnum", "default": 0, "options": [ { "value": 0, "label": "第一行" }, { "value": 1, "label": "第二行" }, { "value": 2, "label": "第三行" } ] }, { "key": "quantity", "label": "实际蒲式耳", "type": "number", "default": 15000 }, { "key": "contracts", "label": "期货张数", "type": "number", "default": 3 } ], "input_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/final-shared-inputs.json" } ] ``` ## Sources - [Money Calculations for CME-cleared Futures and Options](https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf): 当日成交与期初头寸的结算现金及正常舍入；不采用无关分数报价例的印刷错误，不提供CL保证金水平。 本批读取范围：逐日价格变动、乘数、现金与结算口径。 - [Self-Study Guide to Hedging with Grain and Oilseed Futures and Options](https://www.cmegroup.com/trading/agricultural/files/grain-oilseed-hedgers-guide.pdf): 采购与销售方向、价量原例及当地基差。 - [CBOT Rulebook Chapter 10: Corn Futures](https://www.cmegroup.com/rulebook/CBOT/I/10.pdf): 5,000蒲式耳、基准等级及规格边界。 ## Content relations ```json [ { "from": "zh-p21", "relation": "part_of", "to": "portfolio-futures", "reason": "主要 topic 归属" }, { "from": "zh-p21", "relation": "uses_method", "to": "zh-p10", "reason": "调用局部概念；本篇同时给出完成算例所需的最小说明。" }, { "from": "zh-p21", "relation": "illustrated_by", "to": "p21-procurement", "reason": "同一冻结对象和明确身份的算例。" }, { "from": "p21-procurement", "relation": "supported_by", "to": "MP-CME-GRAIN", "reason": "采购与销售方向、价量原例及当地基差。", "locator": "ch2 printed pp9–14 / PDF pp11–16；ch3 printed pp17–22 / PDF pp19–24；margin pp6–7", "scope": "采购与销售方向、价量原例及当地基差。" }, { "from": "p21-business", "relation": "supported_by", "to": "PI-CME-CORN", "reason": "5,000蒲式耳、基准等级及规格边界。", "locator": "§10100–10104", "scope": "5,000蒲式耳、基准等级及规格边界。" }, { "from": "p21-sales", "relation": "supported_by", "to": "MD-S05", "reason": "逐日价格变动、乘数、现金与结算口径。", "locator": "pp1–3普通期货变动现金完整单元", "scope": "逐日价格变动、乘数、现金与结算口径。" }, { "from": "p21-lab", "relation": "illustrated_by", "to": "EXP-P21-CORN", "reason": "由经营现金推出多空，合并当地现货和期货，辨认基差、数量与时间失配。" } ] ``` ## Related entries