Exhibit 21 $$\begin{array} { c c c } & \text { T-Eill } & \text { Eurqdollar } \\\text { September } & 93.25 & 92.35\end{array}$$

question 95

Multiple Choice

Exhibit 21.6
Use the Information Below for the Following Problem(S)
Assume that you observe the following prices in the T-Bill and Eurodollar futures markets
$$\begin{array} { c c c } & \text { T-Eill } & \text { Eurqdollar } \\\text { September } & 93.25 & 92.35\end{array}$$
-Refer to Exhibit 21.6.If you expected the TED spread to widen over the next month then an appropriate strategy would be to

• A) Go long T-Bill futures and long Eurodollar futures.
• B) Go short T-Bill futures and short Eurodollar futures.
• C) Go long T-Bill futures and short Eurodollar futures.
• D) Go short T-Bill futures and long Eurodollar futures.
• E) None of the above.

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