Question 24: A call option on a non-dividend-paying stock has a hedge…

Select all that apply.

1. A

   If the stock price increases by Rs 1, the call option price increases by approximately Rs 0.6.

2. B

   If an investor sells 10 call options, she must buy 6 shares of the underlying stock to form a delta-hedged position.

3. C

   A put option with same strike price and expiry time has Delta of -0.4.

4. D

   The put option price increases if the stock price increases, as Delta is positive.