Suppose that the interbank forward bid for March 20 on Swiss francs is $0.7827 at the same time that the price of IMM Swiss franc futures for delivery on March 20 is $0.7795.How much of an arbitrage profit could a dealer earn per March Swiss franc futures contract of SFr 125,000?
A)$400
B)$68
C)$215
D)$58

Question

Quizplus · Accepted Answer

The arbitrage profit is calculated by taking the difference between the forward bid price and the futures price, then multiplying by the contract size. The difference is $0.7827 - $0.7795 = $0.0032. Multiplying by SFr 125,000 gives $400.

Suppose That the Interbank Forward Bid for March 20 on Swiss