A US based MNC Burgess has receivables of EUR $10,000$ in $90-$days.

Current spot EURUSD $=1\mathrm{.}43.$

The firm's economist forecasts that the EURUSD could end the period with a valu of either $1\mathrm{.}40($probability of $50\%)$ or $).$ The firm is concerned about resulting currency risk.

It has also assessed some hedging alternatives.

$90-$day EURUSD forward contracts are traded at $1\mathrm{.}42.$

The $90-$day interest rates in the US and Europe are $5\%$ and $7\%$ respectively $($these are annualized rates$).$

What is the $3-$month dollar standard deviation for the unhedged position?

A$)$ $$400$

B$)$ $$350$

C$)$ $$600$

D$)$ $$650$

E$)$ $$500$