During the first six months of the year, yields on long-term government debt have fallen about 100 basis points. You believe the decline in rates is over, and you are interested in speculating on a rise in rates. You are, however, unwilling to assume much risk, so you decide to do an intramarket spread.
Use the following information to construct a T-bond futures spread on July 15, and determine the profit when the position is closed on November 15.
July 15
December future price : 76 9/32
March future price: 75 9/32
November 15
December future price: 79 13/32
March future price: 78 9/32