You've 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? \begin{tabular}{l} \hline 49.45% \\ \hline 12.65% \\ \hline 29.45% \\ \hline15.65% \\ \hline 60.25% \end{tabular}