You hold a portfolio of securities which have had the following annual returns: {4%, 18%, -22%, 0%, 20%, 10%}. You believe that these returns are normally distributed. What is the probability that the return in any given year will exceed two standard deviations above the mean? 

Select one: 

a. 15.87% 

b. 11.78% 

c. 2.28% 

d. 9.24%