The underlying asset of the 30-year bond futures contract is aU.S. Treasury bond with a maturity in the range of 17 to 30 years and a par value of $100,000. If futures exchange requires $6,200 of the initial margin for one contract, and that margin represents coverage for a 2-standard deviation event over the course of one day, then the annualized volatility input being used by the exchange to set this initial margin is closest to:


A. 3.1%
B. 6.2%
C. 12.4%
D. 50%