Assume you are short a Call option that has a current value today of $4.50. It has a strike price of $50, current share price is $54 and you are using a 28% volatility to value it. Assume this option currently has a Delta of 67%, a Vega of $0.18 and a Theta of -$0.02 (per day). Tomorrow, i.e. a day later, the share price falls to $53 and you decide to value this option with a 31% volatility now, then what should the new value of that Call option roughly be? (ignoring any second-order effects such as Gamma) $4.61 $4.35 $5.69 $3.99 $5.05