3843金融与交易中等derivationmedium

PnL of a Convergence Trade from a Basis Move

题目

A trader is long spot and short one futures contract. Initially spot is 52 and futures is 52.8, so the cash basis is -0.8. Later the basis changes by 0.6. Ignoring financing, what is the trade's marked-to-market PnL change?

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