The current price of a nondividend-paying stock is 40 and the continuously compounded risk-free interest rate is 8%. The following table shows call and put option premiums for three-month European options of various exercise prices:

A trader interested in speculating on volatility in the stock price is considering two investment strategies. The first is a 40-strike straddle. The second is a strangle consisting of a 35-strike put and a 45-strike call. Determine the range of stock prices in 3 months for which the strangle outperforms the straddle. 

(A) The strangle never outperforms the straddle.

(B) 33.56

(C) 35.13

(D) 36.57

(E) The strangle always outperforms the straddle. 

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Exercise price Call premium Put premium 0.44 1.99 5.08 35 40 45 6.13 2.78 0.97