Suppose the December CBT Treasury bond futures contract has a quoted price of 103-18. If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, round the new interest rate to 4 decimal places when written as a decimal, and round the change in price up to the nearest whole dollar.)
a. ($78.00)
b. ($82.00)
c. ($86.00)
d. ($91.00)
e. ($96.00)