Indices · Index specialist topics · lesson 6 of 9 · 7 min read · David Alexander
Convergence: what the basis does as expiry approaches
convergence
The shrinking of the basis to zero as a future approaches expiry. There is less time left to finance and fewer dividends left to miss, so the two components of the basis both run down - and at settlement the future is the index, by definition.
This lesson is part of the advanced modules.
Modules 6 to 8 are included with a paid account. The definitional summary above is the whole of this page until then.