Consider a Stock That Is Trading at $50 $- 0.40$ the Stock Volatility Is 20%, the Risk-Free Rate Is

Multiple Choice

Consider a stock that is trading at $50. A six-month at-the-money put option on the stock has a price of 2.21 and a delta of $- 0.40$ . The stock volatility is 20%, the risk-free rate is 4%, and the beta of the stock is 1.1. What is the beta of the put?

A) $- 0.44$
B) $- 1.1$
C) $+ 1.1$
D) $- 9.95$