Shares of the SPDR S&P 500 ETF (SPY) trade for 450 USD per share. Suppose that 1-month European call options written at-the-money on SPY trade for 15.63 USD. The annual, continuously-compounded risk-free rate is 0.5%, the expected annual volatility of SPY is 20%. What does the market expect the annual volatility of SPY to be?

30%

25%

20%

35%