A Stock Priced at $65 Has a Standard Deviation of 30

Multiple Choice

A stock priced at $65 has a standard deviation of 30%. Three-month calls and puts with an exercise price of $60 are available. The calls have a premium of $7.27, and the puts cost $1.10. The risk-free rate is 5%. Since the theoretical value of the put is $1.525, you believe the puts are undervalued.
If you construct a riskless arbitrage to exploit the mispriced puts, your arbitrage profit will be ________.

A) $5.75
B) $6.17
C) $0.96
D) $0.42