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

Multiple Choice

On January 1, the listed spot and futures prices of a Treasury bond were 95-4 and 95-6. You sold $100,000 par value Treasury bonds and purchased one Treasury bond futures contract. One month later, the listed spot price and futures prices were 95 and 94-4, respectively. If you were to liquidate your position, your profits would be a

A) $125 loss.
B) $125 profit.
C) $1,060.50 loss.
D) $1,062.50 profit.
E) None of the options are correct.