Exhibit 21.4 Use the Information Below for the Following Problem(S)

Exhibit 21.4
Use the Information Below for the Following Problem(S)
A 3-month T-bond futures contract (maturity 20 years, coupon 6%, face $100,000) currently trades at $98,781.25 (implied yield 6.11%) . A 3-month T-note futures contract (maturity 10 years, coupon 6%, face $100,000) currently trades at $101,468.80 (implied yield 5.80%) . Assume semiannual compounding.
-Refer to Exhibit 21.4.If you expected the yield curve to steepen,the appropriate NOB futures spread strategy would be

A) Go long the T-bond and short the T-note
B) Go short the T-bond and long the T-note
C) Go long the T-bond and long the T-note
D) Go short the T-bond and short the T-note
E) None of the above