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 long position in a put, both for the same strike and maturity. Which of the following statements is true?

A) When the stock price increases, the rho of the portfolio increases if and only if the call is in-the-money.
B) When the stock price increases, the rho of the portfolio decreases if and only if the call is out-of-the-money.
C) When the stock price increases, the rho of the portfolio increases whether or not the call is in-the-money.
D) When the stock price increases, the rho of the portfolio may increase, decrease or stay constant depending on volatility and depth-in-the-money.