A Treasury Bond futures contract is selling in the market for $98,225 and has a duration of 8 years.The same Treasury Bond is selling in the cash market for $98,625 and has a duration of 8.25 years.What is the basis for this futures contract?

Question

Quizplus · Accepted Answer

The basis for a futures contract is the difference between the spot price (cash market price) of the underlying asset and the futures price. Here, the cash market price is $98,625 and the futures price is $98,225, so the basis is $98,625 - $98,225 = $400. Duration is not relevant for calculating the basis.

A Treasury Bond Futures Contract Is Selling in the Market