You Hold a Portfolio of a Long Position in a Call

question 26

Multiple Choice

You hold a portfolio of a long position in a call and a long position in a put, both for the same strike and maturity. Which of the following statements is true?

• A) When the stock price increases, the delta of the portfolio increases if the call is in-the-money.
• B) When the stock price increases, the delta of the portfolio decreases if the call is out-of-the-money.
• C) When the stock price increases, the delta of the portfolio increases whether or not the call is in-the-money.
• D) There is not enough information to answer this question.