On January 15, 2007 (today = time 0), a firm is worried that the interest rate may decline in the next six months, when it will receive the payment from the sale of a piece of equipment. In particular, the firm will receive on July 15, 2007 a $200 million receivable that needs to be invested for another six months. The firm decides to go long on 90-day Eurodollar futures contracts (contract size is $1M). The quoted futures price on this day is $91.72. Over the life of the contract the prices move as given below.

15-Jan-07 91.72

16-Jan-07 91.88

17-Jan-07 91.65

.

.

15-July-07 93.59

Question 2

What is the daily P&L from futures contract on Jan 17th?

-125,000

-115,000

-75,000

-95,000