Continuing in the context of the last question, use p$*$ and an assumed zero risk$-$free rate to price an at$-$the$-$money European call on the futures that expires at the end of the period. By definition, upon exercise, the call pays the difference between the futures price and the strike. Finally, explain how you can use the futures contract and risk$-$free borrowing or lending to replicate a position of two at$-$the$-$money European calls. $($You should use the p$*$ you computed in the last question, but you will not be penalized if you use the wrong p$*$ in this question, provided of course your p$*$ does not imply an arbitrage.$)$