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On July 1, the listed spot and futures prices of a Treasury bond were 96.80 and 96.25. You purchased $100,000 par value Treasury bonds and
On July 1, the listed spot and futures prices of a Treasury bond were 96.80 and 96.25. You purchased $100,000 par value Treasury bonds and sold one Treasury bond futures contract. One month later, the listed spot price and futures prices were 97.00 and 96.20, respectively. If you were to liquidate your position, what would be your profit or loss?
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