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IBM stock currently sells for $92 per share. The implied volatility equals 42.5 percent. The risk free rate of interest is 3.5 percent continuously compounded.

IBM stock currently sells for $92 per share. The implied volatility equals 42.5 percent. The risk free rate of interest is 3.5 percent continuously compounded. What is the delta of a call option with a strike price of 89 and maturity of 3 months.

0.09

0.71791

0.61791

0.3

0.38209

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