Question 11 ABC stock has price $71.40 at noon, and currently pays no dividend. There is a three-month European-style call on ABC stock with strike price $70. Interest rates are zero. This call has price = 5.00, delta = 0.58, theta = -8.35/year, gamma = .037, vega = 14.0, and implied (annualized) stock volatility 30%. Consider the three-month European-style put option on ABC stock with strike price $35. Which of the following is the most likely implied stock volatility, derived from the three-month put option price? O 30% O 20% O 40% O All volatilities given (in the other answers) are equally likely