A portfolio is worth $100 million. To protect against market downturns, the managers of the portfolio require a 6-month put option with a strike price of $90 million. The risk free rate is 5% per annum, and the standard deviation of the portfolio is 20% per annum. What proportion of the portfolio should be sold and invested in risk-fee assets to match the delta of the required option?

A. 19.50%

B. 22.79%

C. 20.33%

D. 18.90%

E. 16.05%