单选题 Delbert Gossert owns stock worth $32 per share. Gossert buys a put option with a strike price of $32 for $2.50. At expiration, the stock is valued at $32 per share. The profit or loss from Gossert"s portfolio insurance strategy is a:

A、 loss of $2.50.
B、 $0, no gain or loss.
C、 gain of $2.50.

【正确答案】 A

【答案解析】The put option is at-the-money at expiration ( Max (0, X - S) ) and is, therefore, worthless. The stock price didn"t change, so Gossert is only out the premium paid for the option, $2.50.