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  3. 3. you hold a short position in a call option and

3. You hold a short position in a call option and a long position in...

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Finance

3. You hold a short position in a call option and a long position in a put option. Both options are European, have the same underlying stock, the same maturity and the same strike price. Assume there is an increase in the volatility of the underlying stock. Which of the following is True?

a) Since the values of both options increase in the volatility of the underlying, the value of your overall position increases.

b) Without more information it is not possible to determine whether your overall position increases in value or not.

c) The value of your overall position is unchanged as the volatility of the underlying increases.

d) The volatility only affects the value of the call option and not the value of the put option.

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