Assume _tF_T2 = _tF_T1 (1 + _T1r_T2) + _T1C_T2 is the equilibrium situation.

Also assume that T₂ T₁ is one year, that _T1C_T2 = $1 and that _T1r_T2 = 10%.

Assume the initial prices are _tF^o_T1 = 100 & _tF^o_T2 = 133.

A trader goes long the F_T1 contract and short the F_T2 contract believing these are not equilibrium prices and that he will profit when they adjust to equilibrium.

Say the next day, t + 1, the _t+1F_T1 price moves to 115 and _t+1F_T2 adjusts to an equilibrium price.

If the trader round trips his positions on day t+1, what is his profit or loss on the F_T2 position?

		profit of 11
		profit of 5.5
		loss of 11
		cannot be determined from the information given