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Q2. Trader Z holds short one T-Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to

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Q2. Trader Z holds short one T-Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position The DEC T-Bond futures settlement price was 101 - 12 yesterday. Z considers the delivery of one of the following four deliverable T-Bonds: Bond Market price Conversion Factor A 125-05 1.2131 B 142-15 1.3792 115-31 1.1149 D 144-02 1.4026. Which of these T-Bonds will be delivered and why, Show all your calculations. 1

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