Chapter 06 · Section 6.1

Increase 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.
• d) increase the value of your call and decrease your return.
  Yes. When the option writer has to buy back the option in order to cancel out his position, he will be forced to pay a higher price due to the increased value of the calls. Continue
  e) decrease the value of your call and decrease your return.