Your boss asks you to analyze options for the S&P 500. Based on your analysis you believe the S&P 500 offers a dividend yield of 1.90% over the next year, has implied volatility of 18% per annum, and the current risk-free rate is 1.65% (all on a continuously compounded basis). The current spot price of the S&P 500 is 2,250.

Using a one-period binomial tree method, what is the value of delta () of a 3-month European put at a strike price of 2,200?

Group of answer choices

0.00

0.00 < 0.10

0.10 < 0.20

0.20 < 0.30

0.30 <