Consider the Black-Scholes framework. A market-maker, who delta-hedges, sells a three-month at-the-money European call option on a nondividend-paying stock.

You are given:

(i) The continuously compounded risk-free interest rate is 10%.

(ii) The current stock price is 50.

(iii) The current call option delta is 0.61791.

(iv) There are 365 days in the year.

If, after one day, the market-maker has zero profit or loss, determine the stock price move over the day.

(A) 0.41

(B) 0.52

(C) 0.63

(D) 0.75

(E) 1.11