1. S=105; X=100; r_c=.02; T=60 days; standard deviation of daily returns = .012; Assume 365 calendar days in a year and 255 trading days in a year. Assume N(d1) =0.76 and N(d2) = 0.74 (irrespective of your calculations for d1 and d2), what is the delta of a call option according to Black-Scholes? (round to 2 decimal places)

2. If the price of a stock on 9/1/20 was $3000 and the price on 9/2/20 was $3200, what is the daily return in a continuous time framework?

6.6667%

6.4539%

-6.2500%

-6.4540%