Table 2 (continued): European Call Option Delta: $ Chan$ Option for a $ Change in Stock Price.

Part Two: Ratio of Current Stock Price to Present Value of the Exercise Price is between 0.97 and 1.23.

sigma x sqrt(T)	0.97	0.98	0.99	1	1.01	1.02	1.03	1.04	1.05	1.06	1.07	1.08	1.09	1.1	1.11	1.12	1.13	1.14	1.15	1.16	1.17	1.18	1.19	1.2	1.21	1.22	1.23
0.01	0.001	0.022	0.159	0.502	0.841	0.976	0.998	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1
0.02	0.065	0.159	0.311	0.504	0.694	0.841	0.932	0.976	0.993	0.998	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1	1
0.03	0.159	0.255	0.374	0.506	0.636	0.75	0.841	0.907	0.95	0.975	0.988	0.995	0.998	0.999	1	1	1	1	1	1	1	1	1	1	1	1	1
0.04	0.229	0.314	0.409	0.508	0.606	0.697	0.776	0.841	0.892	0.93	0.957	0.974	0.985	0.992	0.996	0.998	0.999	1	1	1	1	1	1	1	1	1	1
0.05	0.28	0.352	0.43	0.51	0.589	0.663	0.731	0.791	0.842	0.883	0.916	0.941	0.96	0.973	0.983	0.989	0.993	0.996	0.998	0.999	0.999	1	1	1	1	1	1
0.06	0.316	0.38	0.445	0.512	0.578	0.641	0.699	0.753	0.8	0.842	0.876	0.905	0.929	0.947	0.962	0.972	0.981	0.987	0.991	0.994	0.996	0.997	0.998	0.999	0.999	1	1
0.07	0.345	0.4	0.457	0.514	0.57	0.625	0.676	0.724	0.768	0.807	0.842	0.872	0.897	0.919	0.936	0.951	0.963	0.972	0.979	0.984	0.989	0.992	0.994	0.996	0.997	0.998	0.999
0.08	0.367	0.416	0.466	0.516	0.565	0.613	0.659	0.702	0.742	0.779	0.812	0.842	0.868	0.891	0.911	0.927	0.942	0.953	0.963	0.971	0.977	0.983	0.987	0.99	0.992	0.994	0.996
0.09	0.385	0.429	0.473	0.518	0.562	0.605	0.646	0.685	0.721	0.756	0.787	0.816	0.842	0.865	0.886	0.904	0.92	0.933	0.945	0.955	0.963	0.97	0.976	0.981	0.985	0.988	0.99
0.1	0.4	0.44	0.48	0.52	0.559	0.598	0.635	0.671	0.705	0.737	0.766	0.794	0.819	0.842	0.863	0.882	0.898	0.913	0.926	0.938	0.947	0.956	0.963	0.969	0.975	0.979	0.983
0.11	0.412	0.449	0.485	0.522	0.558	0.593	0.627	0.66	0.691	0.721	0.749	0.775	0.799	0.822	0.842	0.861	0.878	0.894	0.908	0.92	0.931	0.941	0.949	0.957	0.963	0.969	0.974
0.12	0.423	0.457	0.491	0.524	0.557	0.589	0.62	0.651	0.68	0.707	0.734	0.758	0.782	0.804	0.824	0.842	0.86	0.875	0.89	0.903	0.914	0.925	0.934	0.943	0.95	0.957	0.963
0.13	0.433	0.464	0.495	0.526	0.556	0.586	0.615	0.643	0.67	0.696	0.721	0.744	0.767	0.788	0.807	0.826	0.843	0.858	0.873	0.886	0.898	0.91	0.92	0.929	0.937	0.945	0.951
0.14	0.441	0.47	0.499	0.528	0.556	0.584	0.611	0.637	0.662	0.687	0.71	0.732	0.754	0.774	0.793	0.81	0.827	0.843	0.857	0.871	0.883	0.895	0.905	0.915	0.924	0.932	0.939
0.15	0.449	0.476	0.503	0.53	0.556	0.582	0.607	0.632	0.656	0.678	0.701	0.722	0.742	0.761	0.78	0.797	0.813	0.829	0.843	0.856	0.869	0.881	0.892	0.902	0.911	0.919	0.927
0.16	0.456	0.482	0.507	0.532	0.557	0.581	0.604	0.627	0.65	0.672	0.692	0.713	0.732	0.75	0.768	0.785	0.801	0.816	0.83	0.843	0.856	0.867	0.878	0.889	0.898	0.907	0.915
0.17	0.462	0.487	0.51	0.534	0.557	0.58	0.602	0.624	0.645	0.666	0.685	0.705	0.723	0.741	0.758	0.774	0.789	0.804	0.818	0.831	0.843	0.855	0.866	0.876	0.886	0.895	0.904
0.18	0.468	0.491	0.514	0.536	0.558	0.579	0.6	0.621	0.641	0.66	0.679	0.698	0.715	0.732	0.749	0.764	0.779	0.793	0.807	0.82	0.832	0.844	0.855	0.865	0.875	0.884	0.893
0.19	0.474	0.495	0.517	0.538	0.559	0.579	0.599	0.618	0.638	0.656	0.674	0.691	0.708	0.725	0.74	0.755	0.77	0.784	0.797	0.81	0.822	0.833	0.844	0.854	0.864	0.873	0.882
0.2	0.479	0.5	0.52	0.54	0.56	0.579	0.598	0.616	0.635	0.652	0.669	0.686	0.702	0.718	0.733	0.748	0.761	0.775	0.788	0.8	0.812	0.823	0.834	0.844	0.854	0.863	0.872
0.21	0.484	0.504	0.523	0.542	0.561	0.579	0.597	0.615	0.632	0.649	0.665	0.681	0.697	0.712	0.726	0.74	0.754	0.767	0.78	0.792	0.803	0.814	0.825	0.835	0.844	0.854	0.862
0.22	0.489	0.507	0.526	0.544	0.562	0.579	0.597	0.613	0.63	0.646	0.662	0.677	0.692	0.707	0.721	0.734	0.747	0.76	0.772	0.784	0.795	0.806	0.816	0.826	0.836	0.845	0.853
0.23	0.493	0.511	0.528	0.546	0.563	0.58	0.596	0.612	0.628	0.644	0.659	0.674	0.688	0.702	0.715	0.728	0.741	0.753	0.765	0.776	0.787	0.798	0.808	0.818	0.827	0.836	0.845
0.24	0.497	0.514	0.531	0.548	0.564	0.58	0.596	0.612	0.627	0.642	0.656	0.67	0.684	0.697	0.71	0.723	0.735	0.747	0.759	0.77	0.781	0.791	0.801	0.81	0.82	0.829	0.837
0.25	0.501	0.518	0.534	0.55	0.565	0.581	0.596	0.611	0.626	0.64	0.654	0.667	0.681	0.694	0.706	0.718	0.73	0.742	0.753	0.764	0.774	0.784	0.794	0.804	0.813	0.821	0.83
0.26	0.505	0.521	0.536	0.552	0.567	0.582	0.596	0.611	0.625	0.638	0.652	0.665	0.678	0.69	0.702	0.714	0.726	0.737	0.748	0.758	0.768	0.778	0.788	0.797	0.806	0.815	0.823
0.27	0.509	0.524	0.539	0.554	0.568	0.583	0.597	0.61	0.624	0.637	0.65	0.663	0.675	0.687	0.699	0.71	0.722	0.732	0.743	0.753	0.763	0.773	0.782	0.791	0.8	0.808	0.816
0.28	0.512	0.527	0.541	0.556	0.57	0.583	0.597	0.61	0.623	0.636	0.649	0.661	0.673	0.685	0.696	0.707	0.718	0.728	0.739	0.749	0.758	0.768	0.777	0.786	0.794	0.802	0.81
0.29	0.516	0.53	0.544	0.558	0.571	0.584	0.598	0.61	0.623	0.635	0.647	0.659	0.671	0.682	0.693	0.704	0.714	0.725	0.735	0.744	0.754	0.763	0.772	0.78	0.789	0.797	0.805
0.3	0.519	0.533	0.546	0.56	0.573	0.586	0.598	0.611	0.623	0.635	0.646	0.658	0.669	0.68	0.691	0.701	0.711	0.721	0.731	0.74	0.75	0.759	0.767	0.776	0.784	0.792	0.8
0.31	0.523	0.536	0.549	0.562	0.574	0.587	0.599	0.611	0.623	0.634	0.646	0.657	0.667	0.678	0.689	0.699	0.709	0.718	0.728	0.737	0.746	0.755	0.763	0.771	0.779	0.787	0.795
0.32	0.526	0.539	0.551	0.564	0.576	0.588	0.6	0.611	0.623	0.634	0.645	0.656	0.666	0.676	0.687	0.696	0.706	0.715	0.725	0.734	0.742	0.751	0.759	0.767	0.775	0.783	0.79
0.33	0.529	0.541	0.554	0.566	0.577	0.589	0.6	0.612	0.623	0.634	0.644	0.655	0.665	0.675	0.685	0.694	0.704	0.713	0.722	0.731	0.739	0.747	0.756	0.763	0.771	0.779	0.786
0.34	0.532	0.544	0.556	0.567	0.579	0.59	0.601	0.612	0.623	0.634	0.644	0.654	0.664	0.674	0.683	0.693	0.702	0.711	0.719	0.728	0.736	0.744	0.752	0.76	0.768	0.775	0.782
0.35	0.535	0.547	0.558	0.569	0.581	0.592	0.602	0.613	0.623	0.634	0.644	0.654	0.663	0.673	0.682	0.691	0.7	0.709	0.717	0.725	0.734	0.741	0.749	0.757	0.764	0.771	0.778
0.36	0.538	0.549	0.56	0.571	0.582	0.593	0.603	0.614	0.624	0.634	0.644	0.653	0.663	0.672	0.681	0.69	0.698	0.707	0.715	0.723	0.731	0.739	0.746	0.754	0.761	0.768	0.775
0.37	0.541	0.552	0.563	0.573	0.584	0.594	0.604	0.614	0.624	0.634	0.644	0.653	0.662	0.671	0.68	0.688	0.697	0.705	0.713	0.721	0.729	0.736	0.744	0.751	0.758	0.765	0.772
0.38	0.544	0.554	0.565	0.575	0.586	0.596	0.606	0.615	0.625	0.634	0.644	0.653	0.662	0.67	0.679	0.687	0.696	0.704	0.712	0.719	0.727	0.734	0.741	0.749	0.755	0.762	0.769
0.39	0.547	0.557	0.567	0.577	0.587	0.597	0.607	0.616	0.626	0.635	0.644	0.653	0.661	0.67	0.678	0.686	0.694	0.702	0.71	0.718	0.725	0.732	0.739	0.746	0.753	0.76	0.766
0.4	0.549	0.559	0.569	0.579	0.589	0.599	0.608	0.617	0.626	0.635	0.644	0.653	0.661	0.669	0.678	0.686	0.693	0.701	0.709	0.716	0.723	0.73	0.737	0.744	0.751	0.757	0.763
0.41	0.552	0.562	0.572	0.581	0.591	0.6	0.609	0.618	0.627	0.636	0.644	0.653	0.661	0.669	0.677	0.685	0.693	0.7	0.707	0.715	0.722	0.729	0.735	0.742	0.749	0.755	0.761
0.42	0.555	0.564	0.574	0.583	0.592	0.601	0.61	0.619	0.628	0.636	0.645	0.653	0.661	0.669	0.677	0.684	0.692	0.699	0.706	0.713	0.72	0.727	0.734	0.74	0.747	0.753	0.759
0.43	0.557	0.567	0.576	0.585	0.594	0.603	0.612	0.62	0.629	0.637	0.645	0.653	0.661	0.669	0.676	0.684	0.691	0.698	0.705	0.712	0.719	0.726	0.732	0.739	0.745	0.751	0.757
0.44	0.56	0.569	0.578	0.587	0.596	0.604	0.613	0.621	0.63	0.638	0.646	0.654	0.661	0.669	0.676	0.684	0.691	0.698	0.705	0.711	0.718	0.724	0.731	0.737	0.743	0.749	0.755
0.45	0.563	0.571	0.58	0.589	0.598	0.606	0.614	0.623	0.631	0.639	0.646	0.654	0.661	0.669	0.676	0.683	0.69	0.697	0.704	0.71	0.717	0.723	0.73	0.736	0.742	0.748	0.753
0.46	0.565	0.574	0.582	0.591	0.599	0.608	0.616	0.624	0.632	0.639	0.647	0.654	0.662	0.669	0.676	0.683	0.69	0.697	0.703	0.71	0.716	0.722	0.728	0.734	0.74	0.746	0.752
0.47	0.568	0.576	0.585	0.593	0.601	0.609	0.617	0.625	0.633	0.64	0.648	0.655	0.662	0.669	0.676	0.683	0.69	0.696	0.703	0.709	0.715	0.721	0.727	0.733	0.739	0.745	0.75
0.48	0.57	0.578	0.587	0.595	0.603	0.611	0.619	0.626	0.634	0.641	0.648	0.656	0.663	0.67	0.676	0.683	0.69	0.696	0.702	0.709	0.715	0.721	0.727	0.732	0.738	0.744	0.749
0.49	0.573	0.581	0.589	0.597	0.605	0.612	0.62	0.627	0.635	0.642	0.649	0.656	0.663	0.67	0.677	0.683	0.689	0.696	0.702	0.708	0.714	0.72	0.726	0.731	0.737	0.742	0.748
0.5	0.575	0.583	0.591	0.599	0.606	0.614	0.621	0.629	0.636	0.643	0.65	0.657	0.664	0.67	0.677	0.683	0.69	0.696	0.702	0.708	0.714	0.719	0.725	0.731	0.736	0.741	0.747