Chapter 03 · Section 3.1
Volatility increase
If the volatility of the underlying asset increases:
a) the higher the put premium;
b) the higher the call premium;
c) the lower the put premium;
d) the lower the call premium.
e) a and b
f) a and d
The more time there is to expiration, the greater the risk in a short option position. For volatility it is the same: if the price of the underlying asset starts to fluctuate more heavily, the risk for the option writer increases.
The effect of higher volatility is the same for calls and puts.
(b) and (d) do not go together.