Polytot 6/04

To get the lock in rate, you first calculate the current basis as the difference between the current spot rate of 1.5510 and the current December futures price of 1.5275, which is 0.0235. You then take the current spot rate and subtract the expired basis, which gives 1.5510 - (2/3 x 0.0235) = 1.5353 Alternatively you take the current future price and add the unexpired basis, which gives 1.5275 + (1/3 x 0.0235) = 1.5353. I do suggest that you watch my free lectures on this.