On January 1,the listed spot and futures prices of a Treasury bond were 93.8 and 93.13.You purchased $100,000 par value Treasury bonds and sold one Treasury bond futures contract.One month later,the listed spot price and futures prices were 94 and 94.09,respectively.If you were to liquidate your position,your profits would be

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The spot price increased from 93.8 to 94, resulting in a gain of $200 (0.2% of $100,000) on the bond. The futures price increased from 93.13 to 94.09, resulting in a loss of $960 (0.96% of $100,000) on the futures contract. The net result is a loss of $760 - $200 = $125.

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