... call increases in value at half the rate of the underlying, while the 0.50 delta put decreases in value at half the rate of the underlying If the underlying moves down, the call decreases while the ... decreases in price by 20 per cent for a small upwards move in the underlying 265 266 Questions and answers False, they both change the same amount in either case If the underlying moves up, the 0.50 ... volatility, and that they may be overvalued Another possibility is that the options are anticipating a near-term increase in the historical volatility, and if so, they are correctly valued Questions and...