Use the Information for the Question(s) Below

Multiple Choice

Use the information for the question(s) below.
The current price of KD Industries stock is $20. In the next year the stock price will either go up by 20% or go down by 20%. KD pays no dividends. The one year risk-free rate is 5% and will remain constant.
-Assuming the Beta on KD stock is 1.1, The calculated beta for a one-year call option on KD stock with a strike price of $20 is closest to:

A) -1.8
B) 2.4
C) -7.7
D) 4.6