Several months ago, an investor sold 100 units of a one-year European call option on a nondividend-paying stock. She immediately delta-hedged the commitment with shares of the stock, but has not ever re-balanced her portfolio. She now decides to close out all positions.

You are given the following information:

(i) The risk-free interest rate is constant.

(ii)

The put option in the table above is a European option on the same stock and with the same strike price and expiration date as the call option.

Calculate her profit.

(A) $11

(B) $24

(C) $126

(D) $217

(E) $240

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Stock price Call option price Put option price Call option delta Several months ago $40.00 $8.88 $1.63 0.794 Now $50.00 $14.42 $0.26