Assume That the Portfolio Manager Sells the Bonds at a Price

Multiple Choice

Assume that the portfolio manager sells the bonds at a price of 87-05/32, and that she closes out the futures hedge position at a price of 81-17/32. What will be the net gain or loss on the entire bond transaction from the time that the hedge was placed?

A) Gain of $2,583,125.
B) Loss of $93,750.
C) Loss of $2,583,125.
D) Gain of $93,750.
E) Gain of $812,700.