The FTSE Index Is at 5,100

Multiple Choice

The FTSE index is at 5,100. You are short a straddle on the FTSE 100 struck at 5,100 and long a 5,000/5,200 strangle. If volatility were to increase,

A) The value of your position would increase.
B) The value of your position would be unaffected.
C) The value of your position would decrease.
D) Any of the above is possible.