The Spot Price of the Market Index Is $900

Multiple Choice

The spot price of the market index is $900. The annual rate of interest on treasuries is 4.8% (0.4% per month) . After 3 months the market index is priced at $920. An investor has a long call option on the index at a strike price of $930. What profit or loss will the writer of the call option earn if the option premium is $2.00?

A) $2.00 gain
B) $2.00 loss
C) $2.02 gain
D) $2.02 loss