Sally purchased a call option on Treasury bond futures at a premium of 2-00. The exercise price is 92-08. Assume that the price of the Treasury bond futures rises to 95-08. Note that prices are quoted in 1/64^th of a point.

a) If Sally exercises her call option and also sells an identical futures contract at 95-08 to close out her position, what is her net gain or loss after accounting for the premium paid on the option? b) What is Sallys net gain or loss if she lets the option expire? Explain