An FI has a $360 million asset portfolio that has an average duration of 9.0 years. The average duration of its $320 million in liabilities is 5.4 years. Assets and liabilities are yielding 10 percent. The FI uses put options on T-bonds to hedge against unexpected interest rate increases. The average delta () of the put options has been estimated at 0.3 and the average duration of the T-bonds is 9.5 years. The current market value of the T-bonds is $96,000.Put options on T-bonds are selling at a premium of $1.25 per face value of $100.