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W Assume the spot price of the S&P 500 is 2250, its implied volatility is 18% per annum, and the current risk-free rate is 1.65% per annum (both compounded continuously). For a 2-month European option with a strike price of 2,200, N(d-0.6480, Nd2 )-0.6204. Assume no dividends will be paid over the next 2- month period. You calculate the price of a 2-month European put option with a strike price of 2.200. If the delta (A) of the put comes out to -0.35. which of the following is true? For each $1 increase in the value of the stock the put will increase by $0.35 For each $1 increase in the value of the stock the put will decrease by $0:35 For each 1% increase in the value of the stock the put will increase by 35% For each 1% increase in the value of the stock the put will decrease by 35%