S=105; X=100; rc=.02; T=60 days; standard deviation of daily returns = .012; Assume 365 calendar days in a year and 255 trading days in a year. Assume N(d1) =0.76and N(d2) = 0.74 (irrespective of your calculations for d1 and d2),, what is the delta of a call option according to Black-Scholes?