You enter into a 1-year futures contract on a non-dividend paying stock when the stock price is $100 and the risk-free interest rate is 5% per annum. Six months later the stock price has fallen to $90, and the interest rate is 6% per annum. Which of the answers below is closest to the change in the futures price? Assume discrete compounding and discounting.

a.

-13.20

b.

-11.40

c.

-10.00

d.

-12.34