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Basis convergence

The futures price closing in on the spot price as expiry approaches.

How to read the number

By expiry no difference is left: the contract turns into the same asset, and holding two prices for one thing stops being possible.

When the metric lies

Convergence is guaranteed only on the day of settlement. On the way there the basis can widen, and a position that is right about convergence may not survive the collateral calls until that day.

Also known as: convergence to spot

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