A six-months European call option on Microsoft with a strike price of $220 is trading at $6.58. The current stock price for Microsoft is $218. Suppose that the risk-free rate is 1%, whereas the dividend yield on Microsoft is 0. According to the Black-Scholes model (BSM), what is the implied annual volatility? Choose the best answer. (a) 0.351 (b) 0.167 (c) 0.114 (d) 0.305