Frank Inslee, a trader for Seattle Neutral, an option dealer, set up a delta hedged portfolio for a written call position one day ago (on day 0).Some details about the delta hedged portfolio are given in the table below. The option is a 90-day European call with a strike price at $110 on AMP, a financial stock, on which Seattle Neutral has written 800 calls when its price was $109/share. The risk-free interest rate is 3%.

Day

Call Premium

Call Delta

AMP Closing Price

Bond Balance

1

3.70

0.47514

108.00

3,240

2

3.44

0.45567

107.50

?

What is the bond balance on Day 2 after the portfolio has been adjusted according to the needs of dynamic delta hedging?

A.1628.

B.-1628.

C.-4853.

D.4853.