Exhibit 20.2 Use the Information Below for the Following Problem(S)

Multiple Choice

Exhibit 20.2
Use the Information Below for the Following Problem(S)
A futures contract on Treasury bond futures with a December expiration date currently trade at 103:06. The face value of a Treasury bond futures contract is $100,000. Your broker requires an initial margin of 10%.
-Refer to Exhibit 20.2.If the futures contract is quoted at 105:08 at expiration calculate the percentage return.

A) 1.99%
B) 19.99%
C) 20.62%
D) 25.37%
E) -13.65%