Assume the Black-Scholes framework. Consider a stock, and a European call option and a European put option on the stock. The current stock price, call price, and put price are 45.00, 4.45, and 1.90, respectively.

Investor A purchases two calls and one put. Investor B purchases two calls and writes three puts.

The current elasticity of Investor A’s portfolio is 5.0. The current delta of Investor B’s portfolio is 3.4.

Calculate the current put-option elasticity.

(A) −0.55

(B) −1.15

(C) −8.64

(D) −13.03

(E) −27.24