On January 1, the Listed Spot and Futures Prices of a Treasury

question 72

Multiple Choice

On January 1, the listed spot and futures prices of a Treasury bond were 95-4 and 95-6. You sold $100,000 par value Treasury bonds and purchased one Treasury bond futures contract. One month later, the listed spot price and futures prices were 95 and 94-4, respectively. If you were to liquidate your position, your profits would be a

• A) $125 loss.
• B) $125 profit.
• C) $1,060.50 loss.
• D) $1,062.50 profit.
• E) None of the options are correct.

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