Frank Inslee, a trader for Seattle Neutral, an option dealer, set up a delta hedged portfolio for a written call position one day ago (on day 0). Some details about the delta hedged portfolio are given in the table below. The option is a 60-day European call with a strike price at $45 on AMP, a financial stock, on which Seattle Neutral has written 500 calls when its price was $42/share. The risk-free interest rate is 4%.

Days Call Premium Call Delta AMP Closing Price Bond Balance

1 0.89 0.38171 43.50 - 3,263

2 1.31 0.49180 44.50 ?

Whats the dollar difference between the actual value of the delta hedged portfolio value before adjustment for new delta and its projected benchmark value on Day 2?

A) -32.

. B) 65

C) -20.

D) 44