You observe a stock that is not expected to pay dividends in the next year and is currently trading at $38.56/share. A put option with a strike price of 40 and 6 month expiration date costs $5.15 and a call option with the same strike and expiration date is priced at $4.32. The current risk-free rate is 0.2% per month. After checking prices with the put-call parity, you decide to take an arbitrage opportunity by

A. Taking short positions in the call option and the underlying stock and holding long positions in the risk-free zero-coupon bond with a par of $40 in the put option.

B. Taking short positions in the put option and the underlying stock and holding long positions in the risk-free zero-coupon bond with a par of $40 in the call option.

C. Taking long positions in the call option and the underlying stock and holding short positions in the risk-free zero-coupon bond with a par of $40 in the put option.

D. Taking long positions in the put option and the underlying stock and holding short positions in the risk-free zero-coupon bond with a par of $40 in the call option.