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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 passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
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.