Question

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?

A. 65 basis points

B. -65 basis points

C. 650 basis points

D. 850 basis points

E. There is no basis risk on this contract

Answer

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