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You own a call option on UBS shares. The call has three months to maturity and has a strike which your broker refers to as 'at-the-money'. Which of the following market movements will cause your call to increase in value the most? a. UBS shares increase in price and implied volatility increases b. UBS shares increase in price and implied volatility falls c. UBS shares fall in price and implied volatility increases d. UBS shares fall in price and implied volatility falls

You own a call option on UBS shares. The call has three months to maturity and has a strike which your broker refers to as 'at-the-money'. Which of the following market movements will cause your call to increase in value the most? a. UBS shares increase in price and implied volatility increases b. UBS shares increase in price and implied volatility falls c. UBS shares fall in price and implied volatility increases d. UBS shares fall in price and implied volatility falls

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Urgent: Implied volatility/ ATM call option You own a call option on UBS shares. The call has three months to maturity and has a strike which your broker refers to as 'at-the-money'. Which of the following market movements will cause your call to increase in value the most? a. UBS shares increase in price and implied volatility increases b. UBS shares increase in price and implied volatility falls c. UBS shares fall in price and implied volatility increases d. UBS shares fall in price and implied volatility falls
Transcribed Image Text:Urgent: Implied volatility/ ATM call option You own a call option on UBS shares. The call has three months to maturity and has a strike which your broker refers to as 'at-the-money'. Which of the following market movements will cause your call to increase in value the most? a. UBS shares increase in price and implied volatility increases b. UBS shares increase in price and implied volatility falls c. UBS shares fall in price and implied volatility increases d. UBS shares fall in price and implied volatility falls
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