A day trader buys an option on a stock that will return $100 profit if the stock goes up today and lose $500 if it goes down. If the trader thinks there is a 75% chance that the stock will goup, find the standard deviation of the daytrader's option value.

The standard deviation of the daytrader's option is ?

(Round to two decimal places asneeded.)

Can you please show how you got the answer? Thank you!