During the first six months of the year, yields on long-term government debt have fallen about 100 basis points. You believe that 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 intra-market 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 futures price: 76 9/32
March futures price: 75 9/32
November 15
December futures price: 79 13/32
March futures price: 78 9/32