In April 2012, an FI Bought a One-Month Sterling T-Bill

In April 2012, an FI bought a one-month sterling T-bill paying £100 million in May 2012. The FI's liabilities are in dollars, and current exchange rate is $1.6401/£1. The bank can buy one-month options on sterling at an exercise price of $1.60/£1. Each contract has a size of £31,250, and the contracts currently have a premium of $0.014 per £. Alternatively, options on foreign currency futures contracts, which have a size of £62,500, are available for $0.0106 per £. If the exchange rate in one month is $1.55/£1, what action should the FI take in regards to the hedge?

A) Call the £100 million proceeds of the T-bill from the option writer for $160 million
B) Put the £100 million proceeds from the T-bill to the option writer for $160 million.
C) Put the £100 million proceeds from the T-bill to the option writer for $155 million.
D) Call the £100 million proceeds of the T-bill from the option writer for $155 million
E) Allow the option contracts to expire since they are out of the money.