To find the 99% confidence interval for the transaction cost, we first determine the relative spread.

• Mid-price = ($32.90 + $32.45) / 2 = $32.675
• Absolute Spread = $32.90 - $32.45 = $0.45
• Mean Relative Spread ($\mu$) = $0.45 / 32.675 \approx 0.01377$
• Standard deviation of relative spread ($\sigma$) = 0.004
• For a 99% Confidence Level, the Z-score is $\approx 2.33$

The 99% Maximum Relative Spread is calculated as: $\mu + Z \times \sigma = 0.01377 + 2.33 \times 0.004 = 0.02309$

The Spread Risk Factor is half of the Maximum Relative Spread: Spread Risk Factor = $0.02309 / 2 \approx 0.01155$ (which rounds closely to 0.0116).

The Transaction Cost per unit is the Spread Risk Factor multiplied by the Mid-price: Transaction Cost = $0.01155 \times `32.67`5 \approx \`0.377$ (which matches the $0.37`8 value closely subject to intermediate rounding). Thus, Option C is the correct answer.