An investor purchases one September T-bond futures contract at 115-110.The settlement price for the contract on next day is 117-225.What is the marked-to-market gain/loss for the investor?

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Quizplus · Accepted Answer

The gain is calculated based on the difference between the purchase price and the settlement price. The purchase price is 115-11/32 (since 110 translates to 11/32 in bond pricing), and the settlement price is 117-7/32 (since 225 translates to 7/32). The difference is 2-8/32 or 2-1/4. Each point (1-00) in T-bond futures is worth $1,000, and each 1/32 of a point is worth $31.25. Therefore, the gain is (2 * $1,000) + (8/32 * $31.25) = $2,000 + $250 + $109.38 = $2,359.38.

An Investor Purchases One September T-Bond Futures Contract at 115-110