In Your Portfolio You Have $1 Million of 20 Year,8

Multiple Choice

In your portfolio you have $1 million of 20 year,8 5/8 percent bonds which are selling at 83.15 (or 83 15/32) against this position.Because you feel interest rates will rise you sell 10 bond futures at 81.15 (or 81 15/32) against this position.Two months later you decide to close your position.The bonds have fallen to 78 and the futures contracts are at 75.16 (75 16/32) .Disregarding margin and transaction costs,what is your gain or loss?

A) $5,000 loss
B) $500 loss
C) Breakeven
D) $500 gain
E) $5,000 gain