A call option on INJ Ltd shares with a strike price of $35 trades for $4. You compute the Black-Scholes price of this option using a volatility input of 30% p.a. and find a BSM price of $4.20. What can you say about the implied volatility of an otherwise equivalent put option?

Group of answer choices

A. Implied volatility equals 30%

B. Implied volatility is higher than 30%

C. Implied volatility higher than 30% but less than 40%

D. Not enough information to answer this question

E. Implied volatility is lower than 30%