USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Multiple Choice

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 percent.
-Refer to Exhibit 15.8. If the futures contract is quoted at 105:08 at expiration, calculate the percentage return.

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