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You decide to design a bullish spread with two American call options: buy the call struck at X 1 = 500 trading at C 1

You decide to design a bullish spread with two American call options: buy the call struck at X1 = 500 trading at C1 = $50, write the call struck at X2 = 560 trading at C2 = $5. The stock price is currently $530.

If in the next instant the stock price falls to $529, which will be true?

a.

C1 will increase faster than C2 and the value of your spread position will fall

b.

C1 will increase faster than C2 and the value of your spread position will rise

c.

C1 will decline faster than C2 and the value of your spread position will rise

d.

C1 will decline faster than C2 and the value of your spread position will fall

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