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Option-Adjusted Convexity

January 15, 2021
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Positive Carry

January 15, 2021

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A carry (net financing cost) in which the cost of borrowing money to fund an asset or investment (e.g., a security) exceeds the profit (current yield) earned:

Negative carry: financing cost > financing profit

In the context of futures and margin trading, the effect of negative carry makes the theoretical price of the position (futures) a selling price at a premium to an asset’s cash price.

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