Chapter 06 · Section 6.1

Changes in Volatility

An increase in volatility will:

a) decrease the value of your call and increase your return.
b) have no effect on the value of your call.
• c) increase the value of your call and increase your return.
  Yes. Because of the increased likelihood that the option will become in- the-money, an increase in the underlying volatility (before expiration), will increase the value of a long options position. As an option holder, your return will also increase. Continue
  d) increase the value of your call and decrease your return.
  e) decrease the value of your call and decrease your return.