A Stock Is Trading at $80 $\Delta$ Units of the Stock

Multiple Choice

A stock is trading at $80. You hold a delta-hedged portfolio in which you are short a call and long $\Delta$ units of the stock. The delta of the call is 0.65 and the gamma of the call is 0.06. If the stock registers an unexpected price decrease of $4, the value of your delta-hedged portfolio will

A) not change.
B) decrease by approximately $0.12.
C) increase by approximately $0.48.
D) decrease by approximately $0.48.
E) increase by approximately $0.12.