An investor enters a long position in a futures contract on an index (F) with a notional value of 200 × F, expiring in one year. The index pays a continuously compounded dividend yield of 4%, and the continuously compounded risk-free interest rate is 2%. 

At the time of purchase, the index price is 1100. Three months later, the investor has sustained a loss of 100. Assume the margin account earns an interest rate of 0%. Let S be the price of the index at the end of month three. Calculate S. 

(A) 1078 

(B) 1085 

(C) 1094 

(D) 1105 

(E) 1110