A futures contract on a 30-day Eurodollar time deposit is currently selling at an IMM index...

A futures contract on a 30-day Eurodollar time deposit is currently selling at an IMM index of 95.75 percent. The IMM index on a 30-day Eurodollar time deposit for immediate delivery is 95.10 percent. What is the basis?

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Expert Solution

The basis = Cash price - Futures price

Cash price = 95.10 percent

Futures price = 95.75 percent

The basis = 95.10 - 95.75

The basis = -0.65 percent

jeff jeffy answered 2 years ago

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