2.

The September T-bond futures contract is currently selling at 111-05 and September call option on T-bond futures for a strike price of 115-00 is currently quoting at 2-24. If an investor purchases one contract of the call option at the current market price and if the T-bond futures contract settles at 118-05 on the expiration day, what will be the net gain/loss for the investor? (Show calculations)

A.

$781.25

B.

$281.25

C.

-$359.38

D.

$791.25

E.

$566.25