FIN 3506 Lecture Notes - Lecture 2: S&P 500 Index, Futures Exchange, Sweet Crude Oil
6 Oct 2016
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Futures contracts are just agreements to make delivery and take delivery of a specific quantity and quality of an underlying asset. It should be noted less than 2% are actually delivered against. I buy (long) 10 ten-year t-note contacts (i have agreed to take delivery of. To exit the position i offset this by sell 10 ten-year t-note contracts (i agree to make delivery of ,000,000 face value of 10- year t-notes. To close the position i would buy 5 s&p 500 contracts: specification and definitions; calculating profit or losses, underlying asset. The underlying asset is the specific asset that would be delivered if the contract were delivered during the delivery period. Some contracts have a range of specification for the underlying asset. Based on a 6% coupon bond that was originally issued as a bond (initial maturity greater than ten years) with 15 year to 30 year left to maturity.
