The Delta of a Call Option Is 0

Multiple Choice

The delta of a call option is 0.6. The current price of the call is $5 and that of a put at the same strike is $4, and the stock is at $100. What is the approximate price of the put if the stock price increases to $100.50?

A) $3.60
B) $3.80
C) $4.20
D) $4.50