You are a senior financial analyst working at Options-4-everyone. Today, you are evaluating a call option on PEP with a strike price of $132.

If PEP is able to launch a new beverage line, the price per share will go up to $165. Otherwise, the price will go down to $87. Let's assume that these are the only two possible scenarios. PEP shares today are trading at $133.

What is the hedge ratio (delta) of this call option?

Please round your answer to the nearest three decimals (i.e. 0.444).

Hint:

h = (call_u - call_d) / (Stock_u - Stock_d)