Question
Today (July 19, 2022), a spreader observes the quotations of the 5-year MGS futures as follow: September MGS contract : 114.12 December MGS contract :
Today (July 19, 2022), a spreader observes the quotations of the 5-year MGS futures as follow:
September MGS contract : 114.12
December MGS contract : 114.05
He is bullish about the underlying asset and would like to establish a spread trade on the two contract months to ensure a safety net of his position.
Assume that later August 18, 2022, the two contracts are quoted as follow:
September MGS futures : 113.55
December MGS futures : 113.26
Describe and outline the spread trade that he can partake today for 10 lots. Show his profit/loss as he closes-out his position on August 18, 2022. There is a commission charge of RM50 round-turn for the trades
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
Concise 6th Edition
324664559, 978-0324664553
