On Monday Morning You Sell One June T-Bond Futures Contract

question 10

Multiple Choice

On Monday morning you sell one June T-bond futures contract at 97:27 or for $97,843.75. The contract's face value is $100,000. The initial margin requirement is $2,700 and the maintenance margin requirement is $2,000 per contract. Use the following price data to answer questions 67 through 70.
-If r_f is greater than d then we know that _______________.

• A) the futures price will be higher as contract maturity increases
• B) F₀ < S₀
• C) F_T > S_T
• D) arbitrage profits are possible

---

Definitions:

Sensible Perspiration

Perspiration excreted by the sweat glands that appears as moisture on the skin; produced in large quantity when there is much humidity in the atmosphere.

Sweat Glands

Glands in the skin that produce sweat as a means to cool the body and eliminate certain waste products.

Water Loss

The process of losing water from the body, which can occur through means such as sweating, urination, or evaporation.

Angiotensin II

Peptide derived from angiotensin I; stimulates vasoconstriction and aldosterone secretion; also called active angiotensin.