Assume stock S has an expected return of 18% and a standard deviation of 45%. The expected return and standard deviation of the market are 8% and 25%, respectively. The covariance of stock S and market is 1%. The risk-free rate is 4%. What is the idiosyncratic risk for stock S?

Group of answer choices

A. 0.2%

B. 25%

C. 6%

D. 20%