Suppose in the interbank market, the following rates are quoted (Note; this is the spot market): 3-month LIBOR 8% (Maturing; March 30) 6-month LIBOR 9% (Maturing; June 30) Assume todays date is Jan 1st The 3-month LIBOR has a tenor = 90 days The 6-month LIBOR has a tenor = 180 days Given the above information, what is the correct price of 3-month LIBOR futures contract? Indicate the appropriate strategy can be undertaken.