The Three-Month S&P 500 Futures Contract Is Trading at a Level

Multiple Choice

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