You are reviewing the calculation of a call option value using the Black-Scholes formula. You know the following: N(d1) = 0.409. Standard deviation of the stock's return (sigma) = 36% Time to expiration = 6 months (1/2 of a year) Given the above you can figure out what N(d2) must be. N(d2) is closest to _____

0.69 -

0.48

0.60

-0.45

0.31