Q6: Dayo is long a bear spread with strike prices 9.00 and 19.00. The options expire in 12 months, the spot price is $12.50, the stock volatility is 55.00%, the risk free interest rate is 5.75% and the stock dividend rate is 0.00. Dayo delta hedges the position initially and then doesn't adjust the delta hedge. One month later the stock price is still the same. How much does delta change? A) 0.02407 B) 0.02721 C) 0.02093 D) 0.01988 E) It depends on whether she used put options or call options for the initial position