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Answer: LIBOR increased by 80 basis point for a loss (to the long position) of $2,000
A drop in the Eurodollar futures price from **98.00 to 97.20** means the implied LIBOR rate **increased by 0.80% = 80 bps**. For a Eurodollar futures contract: - A **1.00 point** price move = **$2,500** - A **0.80 point** decline = **$2,000** Since the investor is **long**, the price decline produces a **loss of $2,000**.
Author: Manit Arora
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Question 172.3. A Eurodollar futures price changes from 98.00 to 97.20. What is the gain/loss to an investor who is LONG one contract?
A
LIBOR decreased by 80 basis point for a loss (to the long position) of $2,000
B
LIBOR increased by 80 basis point for a loss (to the long position) of $2,000
C
LIBOR decreased by 80 basis point for a gain (to the long position) of $2,000
D
LIBOR increased by 80 basis point for a gain (to the long position) of $2,000
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