ABC stock has price $71.40 at noon, and currently pays no dividend. There is a six-month European-style call on ABC stock with strike price $75. Interest rates are zero. The call has price = 4.55, delta = 0.45, theta = -6.00/year, gamma = .026, vega = 20.0, and implied (annualized) stock volatility 30%. Consider the six-month European-style put option on ABC stock with strike price $35. Which of the following is the most likely implied stock volatility, derived from the put option price? O All volatilities given in the other answers) are equally likely. O 20% O O O 40% O 30%
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