In a One-Period Binomial Model, Assume That the Current Stock $- 0.50$

Multiple Choice

In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $110 or fall to $90 after one month. What is the delta of a 99-strike one-month put option?

A) $- 0.50$
B) $- 0.45$
C) $+ 0.45$
D) $+ 0.50$