At contract maturity the basis should equal
Chapter 2 Forward and Futures Prices Attheexpirationdate,afuturescontractthatcallsforimmediatesettlement, should have a futures price equal to the spot price. A narrow basis refers to the convergence of the spot price and the futures contract commodity price and implies an efficient and liquid market. Convergence is the movement of the price of a futures contract toward the spot price of the underlying cash commodity as the delivery date approaches. At contract maturity the basis should equal _____. A. 1 B. 0 C. the risk-free interest rate D. -1 62. You believe that the spread between the September T-bond contract and the June T-bond futures contract is too large and will soon correct.