A stock paying no dividends is priced at $154. Over the next 3-months you expect the stock to either be up 10% or down 10%. The risk-free rate is 1% per annum compounded continuously. Compute the delta of a 3-month European call option with a strike price of $155.

Group of answer choices

0.00 < 0.25

0.25 < 0.50

0.50 < 0.75

0.75 1.00