You Hold a Portfolio of a Long Position in a Call

Multiple Choice

You hold a portfolio of a long position in a call and a short position in a put, both for the same strike and maturity, both written on a non-dividend paying stock. Which of the following statements is most correct?

A) The delta of the portfolio increases when the stock price increases.
B) The delta of the portfolio stays the same when the stock price increases.
C) The delta of the portfolio decreases when the stock price increases.
D) The delta of the portfolio may increase or decrease when the stock price increases.