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A call and a put on a stock have the same strike price and time to maturity. At 10:00am on a certain day, the price
A call and a put on a stock have the same strike price and time to maturity. At 10:00am on a certain day, the price of the call is $3 and the price of the put is 6.6. At 10:01am news reaches the market that has no effect on the stock price or interest rates, but increases volatilities. As a result the price of the call changes to $4.50. What would you expect the price of the put to change to?
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