Charm in the Final Hour

A trader holds a call struck at K=$25 K = \$25 on a stock currently trading at S0=$5 S_0 = \$5 ; the call is quoted at C0=$0.3 C_0 = \$0.3 and expires in one hour. Its charm (the decay rate of delta with respect to time) is −0.04-0.04. If the stock slips by $0.5 \$0.5 over the coming minute, roughly where should the call be marked?

Answer

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