"For 1-year SPX options, we observe that the 25-delta put implied volatility is at 45%, the 50-delta call implied volatility is at 30%, the 25-delta call implied volatility is at 35%. These observations suggest that the option-implied SPX 1-year return risk-neutral distribution is:" 2 TSLA stock price is currently at $600. The $700-strike European TSLA call option expiring on March 2021 has a delta of 0.43. N(d2) of the option is 0.28. Assume zero interest rate and no dividend. Compute the Black-Merton-Scholes delta (in decimals with correct signs) of the TSLA European put option at the same strike and expiry. (round to 0.01). 3 Suppose you are short 50 contracts on a 2-year 50-delta call option on TSLA and long 25 contracts on TSLA stock. How much will your option position increase in value if TSLA stock price goes up by $1 (use negative number if value decreases).