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Rocket Companies, Incorporated common stock currently sells for $20.25 per share, and the standard deviation of returns is 54.51%. A put option with a strike
Rocket Companies, Incorporated common stock currently sells for $20.25 per share, and the standard deviation of returns is 54.51%. A put option with a strike price of $20.50 is currently trading on the market. The option expires in one month, and the risk-free rate of return is 4%. Rocket Companies does not pay a dividend. According to the Black-Scholes model, the delta for the Rocket Companies put is:
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-0.55388
-0.49127
0.50873
0.44612
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