Question: Given the following data: Treasury Bill Bid Asked Maturity Mar DTM 90 1.35 1.25 Stock XYZ is currently trading at $175 per share. You spot

Given the following data: Treasury Bill Bid Asked Maturity Mar DTM 90 1.35 1.25 Stock XYZ is currently trading at $175 per share. You spot a European call option on XYZ, expiring in 90 days, with a strike price $160, trading at $14 per share. Suppose you short XYZ today and use the proceeds to (1) buy the call option and (2) invest the remaining amount in the T-bill. What will be the value of your T-bill position on the option expiration day? a. $161.46 b. $160.54 c. $161.50 d. $160.50

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