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Answer (D) is correct . If the stock price at the maturity date is $30, AA Company will have a share of stock worth $30 and a put option worth $10 ($40 exercise price – $30 stock price). The call option will be worthless. Hence, the net payoff is $40 ($30 + $10). If the stock price at the maturity date is $45, the share of stock will be worth $45, the put will be worthless, and the loss on the call will be $5 ($45 – $40). Thus, the net payoff will be $40 ($45 – $5). Consequently, the difference in the net payoff on the portfolio because of a difference in the stock price at the maturity date is $0 ($40 – $40). The portfolio has the same value at the maturity date regardless of the price of the stock.

Answer (A) is incorrect because The portfolio has the same value at the maturity date regardless of the price of the stock.
Answer (B) is incorrect because The portfolio has the same value at the maturity date regardless of the price of the stock.
Answer (C) is incorrect because The portfolio has the same value at the maturity date regardless of the price of the stock.