Consider the following information for a call option written on ABC's stock.
S = $96 Delta = 0.2063 Price = $0.5
X = $100 Gamma = 0.0635
T - t = 5 days Theta = -48.7155
σ = 0.4 Vega = 3.2045
r = 0.1 Rho = 0.2643
If in two days ABC's stock price has increased by $1 to $97, explain what you would expect to happen to the price of the call option.
Increase in call option price due to delta = Delta * Change in price of stock = 0.2063 * 1 = 0.2063 However, as option... View the full answer