Understanding Intrinsic Value of Call Options

Easy Derivative Pricing And Valuation Options

A company named TechCorp has the following option data based on its stock price of $100.

TechCorp just issued a European call option with a strike price of $100 that expires in 1 year. The risk-free rate is 5%, and based on the Black-Scholes model, the volatility of TechCorp's stock is estimated at 20%.

What is the correct interpretation of the intrinsic value of the call option at this moment?

The intrinsic value is $0, as the option is at-the-money.

The intrinsic value is $5, given the time until expiration.

The intrinsic value is $20, due to the volatility of the stock.

Hint

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