Refer to the equation we discussed in Black & Scholes models. The stock price is currently trading for $40 and the call option has a strike price of $37. The expiration is 3 months and volatility is the same as the average volatility of the market We also know if the stock price goes up by $2 the value of the value of call option goes up by $1.60. In this case the value of N(d1) should be closer to: