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You observe a nine-month European put option with an exercise price of $115 on a stock that is currently trading for $112 selling for $16.35.

You observe a nine-month European put option with an exercise price of $115 on a stock that is currently trading for $112 selling for $16.35. What is implied volatility on the option if the stock does not pay a dividend and the current risk-free rate is 2%?

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