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    Arbitrage in Treasury notes futures

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    Based solely on the following information, does an arbitrage opportunity exist (Treasury quotes in 100% of par, 32nds)?

    JUN 10-year Treasury note futures contract 115-18
    10-year Treasury note spot quote 115-00
    Risk-free rate 1.75%
    Expiration 90-days

    Hint: To be arbitrage neutral, the futures price must equal the spot price adjusted for the cost of carry.

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    Solution Preview

    See the attached file.
    Based solely on the following information, does an arbitrage opportunity exist (Treasury quotes in 100% of par, 32nds)?
    JUN 10-year Treasury note futures contract 115-18
    10-year Treasury note spot quote 115-00
    Risk-free rate 1.75%
    Expiration 90-days

    Hint: To be arbitrage neutral, ...

    Solution Summary

    The solution answers whether arbitrage opportunity in Treasury notes futures.

    $2.19

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