Palmer Corporation, operating as a U.S. corporation, expects to order goods from a foreign supplier at a price of 307,000 pounds, with delivery and payment to be made on April 15. On January 15, Palmer purchased a three-month call option on 307,000 pounds and designated this option as a cash flow hedge of a forecasted foreign currency transaction. The option has a strike price of $0.15 per pound and costs $3,070. The spot rate for pounds is $0.15 on January 15 and $0.12 on April 15. What amount will Palmer Corporation report as an option expense in net income during the period January 15 to April 15?

$3,684.

$921.

$1,535.

$3,070.