Black-76 on MCX crude oil

Take an MCX crude oil option on futures with $F=\text{₹}8{,}300$ per barrel (roughly WTI at $88 converted at ₹94.5; illustrative), strike ₹8,500, 12 days to option expiry, $r=5.5\%$, assumed volatility 45%, lot 100 barrels. (a) Price the call and the put per barrel and per lot. Verify parity. (b) Compute the futures delta of the call and the risk-neutral probability of finishing in the money. (c) Explain why devolvement into a futures position at expiry does not change the valuation, and what risk it does add for a retail holder.