Call option on interest rate futures

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Rhonda purchases a call option on interest rate futures with an exercise price of 93-10. The premium on the call option is 2-32. Just before the expiration date, the price of Treasury bond futures is 97-14. At this time, Rhonda decides to exercise the option and closes out the position by selling an identical futures contract. Rhonda's net gain or loss from this strategy is _______. Assume that these Treasury bond prices are quoted in 64ths of a point; par value of a Treasury bond contract is $100,000.

Reference no: EM131535221

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