Which of the Following Statements Is False

Which of the following statements is false?

A) The option delta, Δ, has a natural interpretation: It is the change in the price of the stock given a $1 change in the price of the option.
B) Because a leveraged position in a stock is riskier than the stock itself, this implies that call options on a positive beta stock are more risky than the underlying stock and therefore have higher returns and higher betas.
C) Only one parameter input for the Black-Scholes formula, the volatility of the stock price, is not observable directly.
D) Because a stock's volatility is much easier to measure (and forecast) than its expected return, the Black-Scholes formula can be very precise.