A firm has $100 to invest in a stock (or options on the stock). The stock is trading for $100. The three-month 100strike calls on the stock are trading at $4 each. The minimum stock price you expect to see after three months is $60. What is the worst case return on investment the firm can possibly end up with using stock and/or options?

a) -100%

b)-40%

c) 0%

d) +6%