A futures price is currently at $40. The risk-free interest

A futures price is currently at $40. The risk-free interest rate is 5%. Some news is expected tomorrow that will cause the volatility over the next three months to be either 10% or 30%. There is a 60% chance of the first outcome and a 40% chance of the second outcome. Use the DerivaGem software to calculate a volatility smile for three-month options.