. It is April 15. A corporate treasurer will have $1 million cash on hand in four months. He intends to buy cash Treasury bonds with the funds but fears that interest rates will fall between now and then. He hedges with 10 T-bond futures and lifts his hedge on August 15, when he buys cash bonds. (Treasury bond futures are quoted in 32nds of a percentage point of $100,000 face value.) Based on the prices below, what is the result of the futures transaction?

Date Cash Market December Futures

April 15 116-26 116-28

August 15 119-02 118-20

A) The treasurer gains $17,500 on his futures position.

B) The treasurer loses $3,125 as a result of his futures transaction.

C) The treasurer gains $1,750 on his futures position.

D) The treasurer breaks even on his futures position.