medium · Market Microstructure mmf-core
A trader holds 1,000 E-mini S&P 500 futures contracts ($50/point) expiring in September. They roll the position to December using a calendar spread quoted at -15.00 points (September - December).
If the execution cost of the spread is 0.50 points, what is the total cost of the roll in dollars?
- $750,000
- $775,000
- $25,000
- $12,500
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