Walts Chemical Supply Co. trades at $112 per share. The volatility of Walts stock price is 75%. The continuous risk-free rate is 6%. If you price the option with a binomial model, what is the delta of a 6-month call with a strike price of $120? Assume t = 6 months.

Group of answer choices

0.9704

0.5884

0.3198

0.5653

0.5000