The options on the stock of the Petronas Gas Berhad have the following input values:

Stock price = $55

Strike price = $52

Risk-free rate = 0.10

Standard deviation = 0.33

Time to maturity = 0.4

(Assume that no dividends are currently being paid and use BSOPM model)

If the price of a Petronas Gas's call is $6.41, determine the new implied standard deviation of returns without dividends.

a. 0.35

b. 0.20

c. 0.25

d. 0.40