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You observe a premium of $6.51 for a call option on Gamma Co. common stock, which is currently selling for $68. The strike price on

You observe a premium of $6.51 for a call option on Gamma Co. common stock, which is currently selling for $68. The strike price on the call option is $70. The option has four months to maturity. The stock pays no dividends. The current risk-free interest rate is 3.50%.

What is the implied volatility of the stock?

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