Question: You are evaluating a put option on KO with a strike price of $121. If KO is able to launch a new beverage line, the

You are evaluating a put option on KO with a strike price of $121.

If KO is able to launch a new beverage line, the price per share will go up to $148. Otherwise, the price will go down to $65. Let's assume that these are the only two possible scenarios. PEP shares today are trading at $128.

What is the hedge ratio (delta) of this put option?

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