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    Arbitrageur's profit

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    2. Suppose that the forward ask price for March 20 on euros is $0.9127 at the same time that the price of IMM euro futures for delivery on March 20 is $0.9145. How could an arbitrageur profit from this situation? What will be the arbitrageur's profit per futures contract (size is ?125,000)?

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    Since the futures price exceeds the forward rate, the ...

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