The stock price of Heavy Metal (HM) changes only once a month: either it goes up by 20% or it falls by 16%. Its price now is $46. The interest rate is 9% per year, or about 0.75% per month.
a. What is the value of a one-month call option with an exercise price of $46? (Round your intermediate calculations and final answer to 2 decimal places.)
b. What is the option delta? (Round your intermediate calculations and final answer to 2 decimal places.)