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The S&P 500 index currently stands at 3400 and the volatility is 20%. A call option on the index has a strike price of 3300

The S&P 500 index currently stands at 3400 and the volatility is 20%. A call option on the index has a strike price of 3300 and a time to maturity of 3 months. The dividend yield on the index is 2% and the risk-free rate is 1%, both per annum and with continuous compounding. What is your estimate of the delta of this index call option?

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0.52

0.47

0.62

0.57

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