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 2.4% (0.2% 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) $2.01 gain
D) $2.01 loss