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Unformatted text preview: 95 3. A+B Futures Expiration Dated 12/21/2007 3/20/2008 Buy Program (Sell Futures) 1518.94 1526.41 Sell Program (Buy Futures) 1516.62 1524.09 C. The Arbitrage Opportunity here is to sell the March Futures Short and hedge by buying the index. 4. What is the calendar-spread fair value? Compare it to the actual value. Calander Spreads March/December Actual Spreads 10.1 Fair Value 7.47 5. What is the implied forward rate? 6. What is the main difference between current (August 2009) FVs (see the class example) and the Dec. 2007 FVs? What is the main reason for this difference? The current FV’s are below the spot rate whereas in Dec 07 the spot rate was below the FV of the futures contracts. This is a result of low interest rates which resulted in near zero/ negative cost of carry....
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- Spring '09
- Arbitrage, Forward contract, Spot price, Rational pricing, futures expiration