FRM Part I · FRM Exam Part I · Interest Rate Futures
A Treasury bond futures contract is quoted at 120-16 (32nds). The contract size is $100,000 face value. A trader goes long 10 contracts and the quote rises to 121-08. Ignoring margin interest, what is the trader's gain?
The gain is $7,500. The quote moves from 120.50 to 121.25, a rise of 0.75 points, worth $750 per $100,000 contract, so ten long contracts earn $7,500.
- A$7,500
- B$7,812.50Correct
- C$8,125.00
- D$6,250
Explanation
120-16 = 120.5; 121-08 = 121.25. Change = 0.75 points. Per contract = 0.75% × 100,000 = $750. For 10 contracts = $7,500. So $7,500 is correct and $7,812.50 is wrong.
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