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Basic Question 5 of 7
Continue with the last question. The futures price should be $99.71 based on our analysis if the spot price is $98, the life of the futures contract is 136 days, and the interest rate is 4.75%.
If the future is selling for $100, what should an arbitrageur do to net a riskless, positive return?
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I used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
compare the value and price of forward and futures contracts
explain why forward and futures prices differ
CFA® 2025 Level I Curriculum, Volume 5, Module 6.