A junior trader at an equity hedge fund is assessing the market risk of an option position. The option is a call option on stock MTP, which is currently trading at USD 92 per share. The trader has valued the option using a binomial tree, the three left-most nodes of which are shown below:

Stock price        A
                  92.00
                  5.20
Option value

                 B
               98.88
               9.25

                 C
               85.59
               1.02

Stock price        A
                  92.00
                  5.20
Option value

                 B
               98.88
               9.25

                 C
               85.59
               1.02

Given this information, and assuming the length of each time step in the tree is very short, which of the following conclusions would the trader be correct to reach?