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(d₁ )=0.6480, N(d₂ )=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 () of the put comes out to -0.35, which of the following is true?

Group of answer choices

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%