Chapter 03 · Section 3.1

Expiration Profile

You bought this option when volatility was at 25%.

If volatility increases by 10%, how will that change the call's expiration profile?

a) Shift to the left
b) Shift to the right
• c) Shift up
  No. If we were asking about the effect of increased volatility before expiration, this would certainly be true. This question refers to the profile at expiration.
  d) Would not change the profile

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