A Treasury Bond futures contract is selling in the market for $98,225 and has a duration...
A Treasury Bond futures contract is selling in the market for
$98,225 and has a duration of 8 years. The same Treasury Bond is
selling in the cash market for $98,625 and has a duration of 8.25
years. What is the basis for this futures contract?
A) $400
B) .25 years
C) $28,156.25
D) $1600
E) None of the above
Steps please. 8
Homework Answers
The answer is option "A" $400
Steps:
Basis for a futures contract is the difference between the spot price of a given cash market asset and the price of its related futures contract.
Thus basis here = $98,625 - $98,225
= $400
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