A Stock Is Trading at $80 $\Delta$ Units of the Stock

question 19

Multiple Choice

A stock is trading at $80. You hold a delta-hedged portfolio in which you are short a call and long $\Delta$ units of the stock. The delta of the call is 0.65 and the gamma of the call is 0.06. If the stock registers an unexpected price decrease of $4, the value of your delta-hedged portfolio will

• A) not change.
• B) decrease by approximately $0.12.
• C) increase by approximately $0.48.
• D) decrease by approximately $0.48.
• E) increase by approximately $0.12.

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