Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? Assume this contract is based on a 20-year Treasury bond with semiannual interest payments. The face value of the bond is $1,000, and the semiannual coupon payments are $30. The annual coupon rate on the bonds is $60 per bond (or 6%). The futures contract has 100 bonds. (Assume a $1,000 par value, and round to the nearest whole dollar.)

(a) -$78.00

(b) -$82.00

(c) -$86.00

(d) -$90.00

(e) -$95.00