QUESTION $18$

Suppose a $6-$month maturity call option with exercise price $$80$ currently sells for $$10.$ Consider a portfolio with $$6000$ invested in three at$-$the$-$money call contracts and $$4000$ in $6-$month T$-$bills to earn $2\%$ return. What's the portfolio return when the stock price becomes $$110?$

$$ a$.0\mathrm{.}012$

b$.1\mathrm{.}208$

c$.0\mathrm{.}008$

d$.17\mathrm{.}408$