Problem:
A six-month Twitter call option with an exercise price of $50.00 was traded at $4.25 per option on February 27, 2015. Assume that the risk free rate was 1.2% per year and stock price for Twitter on February 27, 2015 was $48.08. Twitter Inc. does not plan to pay dividends in the coming year.
Required:
Question: What was the implied price volatility (variance) of the underlying stock price?
Note: Please provide reasons to support your answer.