A market-maker has sold 100 call options, each covering 100 shares of a dividend-paying stock, and has delta-hedged by purchasing the underlying stock.

You are given the following information about the market-maker’s investment:

• The current stock price is $40.

• The continuously compounded risk-free rate is 9%.

• The continuous dividend yield of the stock is 7%.

• The time to expiration of the options is 12 months.

• N(d₁) = 0.5793 

• N(d₂) = 0.5000 

The price of the stock quickly jumps to $41 before the market-maker can react. This change causes the price of one call option to increase by $56.08. Calculate the net profit on the market-maker’s investment associated with this price move.

(A) Less than −$1,600

(B) At least −$1,600, but less than −$800

(C) At least −$800, but less than $0

(D) At least $0, but less than $800

(E) At least $800