Suppos stock with strike price 50 and 3 months to expiration. Given the current stock price 50, the cost of delta hedging for the market-maker is 30.895. Suppose the annualized continuously compounded risk-free rate is 10%. Then, what is the im- plied volatility of the stock given that it is less than 1? e a market-maker writes a European call option on a nondividend-paying Table 1: The Standard Normal Distribution Function (z) 0.270.28 0.29 0.30 0.31 0.32 d(z) 0.6064 0.6103 0.6141 0.6179 0.6217 0.6255