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If we have the book for November 6, 2019, what would have been the P/L of a long position in the futures November (and December)
If we have the book for November 6, 2019, what would have been the P/L of a long position in the futures November (and December) from November 5 to November 11 using the settlement prices. Please, also explain how to decompose this P/Ls between changes in index and changes in cost of carry?
open high low last change settle
Nov-19 5841.50 5876.50 5837.50 5863.00 0.29 5865.50
Dec-19 5833.50 5862.50 5830.00 5852.00 0.27 5856.00
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