Question
Explain why the price on an expiring futures contract must be equal or approximately equal to the spot price on the contract's underlying asset. Suppose
Explain why the price on an expiring futures contract must be equal or approximately equal to the spot price on the contract's underlying asset.
Suppose you took a long position in a September T-bill futures priced at IMM index 95.5. What would be your profit or loss on the position if the price of a spot 91-day T-bill were trading at YTM of 5% at the September expiration?
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Value Investing
Authors: Mike Hartley
1st Edition
979-8864443309
