Question
Chipotle Mexican Grill, Inc. common stock currently sells for $1,280.46 per share, and the standard deviation of returns is 47.31%. A call option with a
Chipotle Mexican Grill, Inc. common stock currently sells for $1,280.46 per share, and the standard deviation of returns is 47.31%. A call option with a strike price of $1,300 is currently trading on the market at $165.32 per call option. The option expires in six months, and the risk-free rate of return is 1.3%. Chipotle does not pay a dividend. Chipotle has a delta of 0.55623 and a gamma () of 0.00092. If Chipotle's stock price increases by $8, what will the new call price be using both delta and gamma to determine the change?
Group of answer choices
$167.74
$165.46
$169.81
$171.83
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