Suppose a Firm Offers an Equity-Linked Security

Suppose a firm offers an equity-linked security.The face value is $1 million and its payoff is based on any appreciation in an equity index currently at 855.50.It has determined that of the $1 million raised,it can structure the option component so that its value is $135,000.Currently an at-the-money call option is worth $125.What percentage of the gain in the index can it offer?

A) 92 percent
B) 100 percent
C) 50 percent
D) 8.23 percent
E) none of the above