Suppose the monthly rate of return on the S&P 500 is normally distributed with a mean of 1.5% and the standard deviation of 8.5%. What is the probability that the return on the index in any month will be between 0.25% and 1%?

a) 47.65%

b) 3.50%

c) 44.15%

d) 96.50%

e) 52.35%