The three-month S&P 500 index futures price is standing at 3,950 and has a volatility of 25% per annum. The risk-free interest rate is 2.5% per annum and the dividend yield on the index is 3.1% per annum with continuous compounding. The Black-Scholes delta of a three-month European call option on S&P 500 index futures with a strike price of 3,900 is

0.556

0.562

-0.435

-0.439

0.565