What is the price difference on a $100,000, 10-year Treasury note futures contract between the highest and lowest prices at which the bond traded on this day?
Treasury note, $100,000, pts and one-half of 1/32 of a point
A) $106.50
B) $1,065.00
C) $1,203.13
D) $10,650.00
E) $12,031.30

Question

What is the price difference on a $100,000, 10-year Treasury note futures contract between the highest and lowest prices at which the bond traded on this day?
Treasury note, $100,000, pts and one-half of 1/32 of a point 
A) $106.50 
B) $1,065.00 
C) $1,203.13 
D) $10,650.00 
E) $12,031.30

Quizplus · Accepted Answer

The Treasury note futures contract is quoted in pts and one-half of 1/32 of a point, which means each point is worth $1,000 ($100,000 divided by 100). The range of prices between the highest and lowest traded prices is 12 and 3/32 points, which is 12.09375 in decimal form (12 + 3/32 = 12.09375). Therefore, the price difference is $12,093.75 ($1,000 x 12.09375). Rounded to the nearest cent, the answer is $12,031.30 (option C).

What Is the Price Difference on a $100,000, 10-Year Treasury