Suppose an investor purchased 1 share of ABC Co. at $40.25 and sells one October $37 ABC Co. put at $2.60 and sells two October $37 calls at $6. Before expiry of the options, the shares of ABC Co. fell to $38. (each option relates to one stock).

The current gain or loss on this strategy is:

Select one:

a. Gain of $12.60

b. Unlimited loss

c. Gain of $10.35

d. Loss of $14.60