The settlement price for the December call option on Treasury bond futures with an exercise price of 134 (% of par) is 3-08. Note that the option prices are quoted in 64ths, not as decimals. This option is also American style and it expires on November 22. The call option is written on the December T-bond futures contract; the settlement price for this futures contract is 133-290. Note that the futures prices are quoted in 32nds. The riskless interest rate is 0.266%

b. Given that the actual option price is different than the one you computed in part a, the volatility rate must be different than 10%. What is the volatility rate that sets the options value equal to the actual option price?