Question $6$

It is $10$th October $2021.$ An investor is holding $2\mathrm{.}75\%$June $2031$CGBs$,$ currently trading at a yield of $3\mathrm{.}95\%$ p$.$a$.$ and wishes to sell in December.

Discuss the merits of the following strategies:

Selling the December$10-$year bond future quoted at $97\mathrm{.}070.$

Buying the $97\mathrm{.}000$ December put option on $10-$year bond futures at a price of $0\mathrm{.}225\%.$

Retaining exposure to the current $10-$year bond price.