Answer: S&P 500 Index futures

**Correct answer: D. S&P 500 Index futures** A futures contract has **zero basis at maturity** when the futures price and the spot/cash settlement price converge at expiration. **S&P 500 Index futures are cash-settled**, so at maturity the settlement price equals the index level used for settlement, leaving no basis. By contrast, physically delivered commodity futures such as corn, copper, and oil can still involve delivery-location, quality, and other delivery-related effects that make a nonzero basis more likely until actual settlement conditions are satisfied.

Author: Manit Arora