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.)

Using the Black-Scholes Merton model, assume the delta of this call option came out to 0.50, which of the following is true?

Group of answer choices

A $1 increase in the index will decrease the value of the call by $0.50

A $1 increase will the index will increase the value of the call by $0.50

A 1% increase in the index will increase the value of the call by 0.39%

A 1% increase in the index will decrease the value of the call by 0.39%