The sensitivity of the price of a futures contract depends on the duration of the deliverable asset underlying the contract.

Question

Quizplus · Accepted Answer

The longer the duration of the deliverable asset, the more sensitive the price of the futures contract will be to changes in the underlying asset's price. This is because there is more time for price movements to occur, which can have a greater impact on the value of the futures contract.

The Sensitivity of the Price of a Futures Contract Depends