A collar is established by buying a share of stock for $45, buying a 6-month put option with exercise price $39, and writing a 6-month call option with exercise price $51. On the basis of the volatility of the stock, you calculate that for a strike price of $39 and expiration of 6 months, N(d₁) = 0.7267, whereas for the exercise price of $51, N(d₁) = 0.6310.

a. What will be the gain or loss on the collar if the stock price increases by $1?

Collar __________of ____________?

b. What happens to the delta of the portfolio if the stock price becomes very large?

Delta of the portfolio approaches _______________?

c. What happens to the delta of the portfolio if the stock price becomes very small?

Delta of the portfolio approaches _______________?