An investor sold a $100,000 Treasury bond futures contract at 99-02/32^nds yesterday. Today the Treasury bond futures settlement price is 99-31/32^nds. What is the one-day profit or loss on the Treasury bond futures position?

Question

Quizplus · Accepted Answer

The difference between yesterday's price and today's price is:

99-02/32 - 99-31/32 = 29/32

Therefore, the profit or loss is:

$1,000,000 (the notional value of the contract) x 29/32 = $906.25

Since the investor sold the contract, a decrease in price results in a loss. Therefore, the answer is a loss of $906.25.

An Investor Sold a $100,000 Treasury Bond Futures Contract at 99-02/32nds

An Investor Sold a $100,000 Treasury Bond Futures Contract at 99-02/32^nds