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Business, 30.11.2021 21:50 Hfruit

The underlying asset of the 30-year bond futures contract is a U. S. Treasury bond with a maturity in the range of 17 to 30 years and a par value of $100,000. If futures exchange requires $6,200 of the initial margin for one contract, and that margin represents coverage for a 2-standard deviation event over the course of one day, then the annualized volatility input being used by the exchange to set this intial margin is closest to:

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The underlying asset of the 30-year bond futures contract is a U. S. Treasury bond with a maturity i...
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