Suppose a firm offers an equity-linked security. The face value is $1 million and its payoff is based on any appreciation in an equity index currently at 855.50. It has determined that of the $1 million raised, it can structure the option component so that its value is $135,000. Currently an at-the- money call option is worth $125. What percentage of the gain in the index can it offer?

answer is 92%. But I want to know why?