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The three-month S&P 500 futures contract is trading at a level of 1250. The rate of interest is 2%. The average rate of dividends for

The three-month S&P 500 futures contract is trading at a level of 1250. The rate of interest is 2%. The average rate of dividends for stocks in the index is 3%. Index volatility is 20%. What is the Black-Scholes price of a one-year at-the-money put option on the futures?

a=$97.34 $

b=97.60

c= $98.33

d=$99.12

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