You are right. As long as you have the short and long positions on these future contracts, you have a synthetic position in the FRA 90 days. However, unlike a futures contract, a synthetic futures contract requires the investor to pay a net option premium upon performance of the contract. Here is a section of Basic of Derivative Pricing and Valuation, Reading 57, part of the CFA 2019 Level 1 program Think that the costs of this guarantee may increase. It all depends on the exercise price and the chosen expiration date. Put and call options with the same strike and process can be valued differently depending on the extent of strike prices in money or from money. As a rule, the chosen parameters end with the fact that the call premium is slightly higher than the sales premium, which creates a net charge in the account at the beginning. Q: If I look at the chart, I understand that what the chart shows must close in 30 days the long position of the eurodollar from 120 days to T = 30 to not get exposure over a period of 30 days ?. . .