A bank with total assets of $271 million and equity of $31 million has a leverage adjusted duration gap of +0.21 years. Use the following quotation from the Wall Street Journal to construct an at-the-money futures option hedge of the bank's duration gap position. TREASURY BILLS (IMM-S1 million; 91-day ($25.28 ea.) Strike Price 96.00 96.25 96.50 Calls-Settle 28 basis points 19 basis points 12 basis points Puts-Settle 63 basis points 78 basis points 96 basis points If 91-day Treasury bill rates increase from 3.75 percent to 4.75 percent, what will be the profit/loss per contract on the bank's futures option hedge? Show all work and discuss