The Nasdaq 100 Index (Ticker Symbol: NDX) has European-style options listed on the Chicago Board Options Exchange. Suppose that its volatility is 28% (30-days historical volatility, annualized) and the 90-day risk-free interest rate on a continuously compounded basis is 3.2% (yield on 3-month T-bills). [Enter this information in the Black-Scholes Model's initial screen as 28% for the volatility, 90 for days to expiration, and 3.2% for the risk-free interest rate]. Assume that the dividend yield is = 0.52% [Enter this as 0.52].

What is the value of the call and the put when the discounted value of the spot price equals the present value of the strike price? That is, when PV(S) = PV(K)? For computational purposes, define that PV(S) = S * e^-qt and PV(K) = K * e^-rt.

What is the delta of the call and the put for question d., when PV(S) = PV(K)? Explain why the observed relationship exists.