AMZN shares currently sell for 775. The stock pays no dividend. The current risk-free rate is 1.50% compounded continuously. You believe AMZN European options, with a strike price of 780, maturing in 24 trading days, should be selling for an implied volatility of 21%. (Assume there are 252 trading days in a calendar year.)

All else being equal, if AMZN decided to issue a surprise dividend, to be paid within the next 24 trading days, what would it do to the price of its options (calls and puts) maturing in 24 trading days?

Group of answer choices

Calls and puts would both increase in price

Calls and puts would both decrease in price

Calls would increase in price, puts would decrease in price

Calls would decrease in price, puts would increase in price