Chapter 02 · Section 2.1

Short SF Calls-2

Lara is short 2 PHLX SF March 53 calls. Suppose that the volatility of the dollar/Swiss Franc increased sharply.

What would this mean for Lara?

a) Lara would be happy, because the value of her calls would have increased.
b) Lara would not be happy, because the value of her calls would not have increased.
c) Lara would not care, because it would have no effect.

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