An analyst has determined that the annual standard deviation of returns on S&P 500 is 15% and S&P 500 dividend yield is 1.80%. The annual risk-free interest rate on a continuously compounded basis is 4.5%. To value an 18-month European put option on S&P 500 index using a three-step binomial model, what is the risk neutral probability of a down movement? Do not round intermediate calculations.

	A.	0.46
	B.	0.54
	C.	0.48
	D.	0.42