thank you very much for your example. Much appreciated.
However, I still find the question very tricky, moreover when it’s clearly written in the book.
But I got your point, thank you
I completely agree that some questions are written in a tricky and often confusing way.
Because of these questions, sometimes when I get a staight forward question, I re-read it 3-4 times to make sure I didn’t miss any trick 
It’s correct that underlying price and volatility of underlying are both directly related. But consider this. If there is no volatility of the underlying price, then it means that price of the underlying is constant. Which means there won’t be any relation between the value of the option and the price of the underlying as the value of the option will always equal to intrinsic value. So theoretically c) is a better answer. Shitty question though.
Thanks Gigaloo! Yeah, indeed, let’s hope that it will be clearer at the exam! Thank y’all for your big help! Much appreciated
It’s a lousy question; both b and c are correct.
Actually is we take an underlying which is far from the strike even when it goes up not much will happen. However if volatility is high this definitely will impact the price
Actually is we take an underlying which is far from the strike even when it goes up not much will happen. However if volatility is high this definitely will impact the price