Rolling over short-dated futures contracts is the same as taking one long-dated futures contract if
A)The interest rates are constant.
B)The average change in the spot price is zero over the life of the contract.
C)There is daily mark-to-market of both the short-dated and long-dated contracts.
D)The size (notional value)of the open position in the futures does not change over the horizon of the transactions.

Question

Quizplus · Accepted Answer

If interest rates are constant, the cost of carry is predictable, making the rolling of short-dated contracts equivalent to holding a long-dated contract.

Rolling Over Short-Dated Futures Contracts Is the Same as Taking