A portfolio manager has a bond portfolio worth $20 million on September 1. The duration of the portfolio in November will be 8.2 years. The December Treasury bond futures price is currently 95-16 and the cheapest-to-deliver bond will have a duration of 10.1 years at maturity. The Treasury bond price is quoted in dollars and thirty-seconds of a dollar. The par (or face) value of the bonds is $100. Each Treasury bond futures contract is for the delivery of $100,000 par (or face) value of the bonds. How should the porfolio manager immunize the portfolio against chages in interest rates?

A) Long 170 contracts

B) Short 170 contracts

C) Long 258 contracts

D) Short 258 contracts