Using the binomial tree for pricing options you determine the price for a put option, expiring in 1-month, with a strike price of $20, is $1. The underlying stock is currently also trading at $20, pays no dividends, and is expected to move either up 5% or down 5% over the next month. The risk-free rate is 1% per annum compounded continuously. Using the binomial tree approach, what is the delta of the put option?

Group of answer choices

-0.50 <-0.25

-0.25 <0.00

0.00 <+0.25

+0.25 +0.50