Let us consider a scenario in which the settlement price at the end of day (k) is

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Let us consider a scenario in which the settlement price at the end of day \(k\) is 99.28 . Suppose that the settlement price at the end of day \(k+1\) was 99.33, which implies a drop of 5 basis points in the underlying futures rate. Then, at the end of day \(k+1\), the long position gains \(\$ 125\).

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