An investor buys a $100,000 Treasury bond futures contract at 99-13/32^nds. The following day the Treasury bond futures settlement price is 99-26/32^nds. What is the one-day profit or loss on the Treasury bond futures position?

Question

Quizplus · Accepted Answer

The initial price is 99-13/32, which is 99.40625% of $100,000, equaling $99,406.25. The settlement price is 99-26/32, which is 99.8125% of $100,000, equaling $99,812.50. The profit is $99,812.50 - $99,406.25 = $406.25.

An Investor Buys a $100,000 Treasury Bond Futures Contract at 99-13/32nds

An Investor Buys a $100,000 Treasury Bond Futures Contract at 99-13/32^nds