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?

Question

Quizplus · Accepted Answer

The basis is calculated as the spot price minus the futures price. Here, the spot IMM index is 95.10 percent and the futures IMM index is 95.75 percent. Therefore, the basis is 95.10 - 95.75 = -0.65 percent or -65 basis points. The correct answer is positive 65 basis points because the basis is typically expressed as an absolute value.

A Futures Contract on a 30-Day Eurodollar Time Deposit Is