City Bank Has Six-Year Zero Coupon Bonds with a Total

City bank has six-year zero coupon bonds with a total face value of $20 million.The current market yield on the bonds is 10 percent. What is the price volatility if the maximum potential adverse move in yields is estimated at 20 basis points?

A) -1.32 percent.
B) -2.00 percent.
C) -2.18 percent.
D) -1.09 percent.
E) -1.20 percent.