You bought an at-the-money straddle with a strike price $100 and expiration one year. The call had a delta of 0.56 and the put had a delta of -0.44. Next instant, stock price increases by $1. Which of the following is true regarding your straddle value?

	a.	Your straddle value did not change, because the call went up by $1 but the put went down by $1
	b.	Your straddle value increased roughly by $0.12
	c.	Your straddle value decreased roughly by $0.12
	d.	None of the above