Youve decided that index put options are attractive to sell. For simplicity, assume the current S&P500 index level is 100 and the risk-free rate is 1%. You sell one S&P500 index European put option with a strike of 96 and a one-month maturity. The implied volatility of the option is 26% and the price is $1.3326 (i.e., you receive this amount in cash from the option sale).

You believe that the annual expected return of the S&P500 index will be 6% with a volatility of 18%. What is your expected return from your sale?

Group of answer choices

49.45%

12.65%

29.45%

-15.65%

60.25%