Return to Figure 23.7. Suppose the CDOR rate when the second listed BAX contract matures in September
Question:
Return to Figure 23.7. Suppose the CDOR rate when the second listed BAX contract matures in September is 2.5%. What will be the profit or loss to each side of the CDOR contract?
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Month Bid price Ask price Settl. Net price change Open int. Jun-18 98.185 98.19 98.185 Sep-18 97.94 97.945 97.94 97.73 Dec-18 97.73 97.735 97.56 Mar-19 97.555 97.555 Jun-19 97.43 97.435 97.435 Sep-19 97.34 97.345 97.345 Dec-19 97.27 97.275 97.27 Mar 20 97.21 97.215 Jun-20 97.15 97.17 Sep-20 97.1 97.12 Dec-20 97.05 97.08 Mar-21 97.01 97.04 Open interest: 957,705 0 214,592 0 166,094 0 186,751 0 162,948 0 99,385 0 56,457 0 0 97,21 97.16 -0.02 97.12 -0.02 97.08 97.03 41,351 17,701 6,546 3,208 1,934 738 -0.03 -0.02 Volume: 58,187 Vol. 10,507 9,926 11,924 8,456 4,986 5,868 4,284 1,116 593 23 64 110
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ISBN: 9781259271939
9th Canadian Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Lorne Switzer, Maureen Stapleton, Dana Boyko, Christine Panasian
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