You Hold a Portfolio of a Long Position in a Call

question 35

Multiple Choice

You hold a portfolio of a long position in a call and a short position in a put, both for the same strike and maturity, both written on a non-dividend paying stock. Which of the following statements is most correct?

• A) The delta of the portfolio increases when the stock price increases.
• B) The delta of the portfolio stays the same when the stock price increases.
• C) The delta of the portfolio decreases when the stock price increases.
• D) The delta of the portfolio may increase or decrease when the stock price increases.

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