The following are the projected 3-month interest rates, determined by the 3-month Bankers’ Acceptance Futures… note that these are quoted in 100 minus the percentage rate expected, so 97 would be equal to 3%. My gut instinct would suggest that the March and June contracts are slightly undervalued, but well within a margin of error. Essentially this is a bet on whether the Bank of Canada will stick by its conditional June 2010 deadline before it will consider raising interest rates:
Month / Strike | Bid Price | Ask Price | Settl. Price | Net Change | Vol. |
+ 09 DE | 99.560 | 99.565 | 99.565 | 0.000 | 5301 |
+ 10 JA | 0.000 | 0.000 | 99.545 | 0.000 | 0 |
+ 10 FE | 0.000 | 0.000 | 99.525 | 0.000 | 0 |
+ 10 MR | 99.510 | 99.520 | 99.510 | 0.010 | 3909 |
+ 10 JN | 99.330 | 99.340 | 99.330 | 0.000 | 13737 |
+ 10 SE | 98.910 | 98.920 | 98.910 | 0.000 | 5674 |
+ 10 DE | 98.450 | 98.490 | 98.470 | 0.050 | 2102 |
+ 11 MR | 98.120 | 98.130 | 98.130 | 0.040 | 945 |
+ 11 JN | 97.720 | 97.820 | 97.810 | 0.030 | 429 |
+ 11 SE | 97.410 | 97.500 | 97.500 | -0.010 | 150 |
+ 11 DE | 97.090 | 97.190 | 97.260 | -0.040 | 75 |
+ 12 MR | 96.870 | 96.950 | 96.960 | 0.010 | 7 |
+ 12 JN | 96.670 | 96.770 | 96.790 | -0.020 | 46 |
+ 12 SE | 96.550 | 96.650 | 96.690 | -0.050 | 32 |
[…] is updated from December 7, 2009. The end of December rate (these rates are 90 day bank rates) has moved from 1.53% to 1.45%, while […]