You purchase a call option for $3.96 with 12 months to expiration on a stock you expect to increase in value.0.00%The strike price of the option is $25.00 The stock is currently priced at $25.00. Its standard deviation is 33.00% It pays a 0.00% dividend. The risk-free rate is 6.00% If the stock is exactly where it is today, i.e. S0 = ST, 6 months from now, what is the change in option value as a percent (or decimal)? Use these values as a part of your calc's: N(d1) 0.59686 N(d2) 0.50474

Group of answer choices

-35.75%

-32.32%

-30.54%

-34.11%

-28.64%