Explanation

This question involves understanding option sensitivities, specifically delta (Δ), which measures how much an option's price changes when the underlying stock price changes by $1.

Key Concepts:

• Call option delta (Δc): Ranges from 0 to 1
• Put option delta (Δp): Ranges from -1 to 0
• Deep in-the-money options: Have deltas close to ±1
• Deep out-of-the-money options: Have deltas close to 0

Analysis:

• Current stock price: USD 80
• Strike price: USD 50
• Time to maturity: 5 days (very short)

For the call option:

• The call is deep in-the-money (stock price 80 > strike price 50)
• Delta (Δc) will be close to +1
• A $1 decrease in stock price will decrease the call value by approximately $0.94

For the put option:

• The put is deep out-of-the-money (stock price 80 > strike price 50)
• Delta (Δp) will be close to 0 (slightly negative)
• A $1 decrease in stock price will increase the put value by approximately $0.89

Why Scenario B is correct:

• Call value decrease of $0.94 reflects the high delta of a deep ITM call
• Put value increase of $0.89 reflects the low delta of a deep OTM put
• The put delta is not exactly 0 due to the very short time to expiration (5 days) and some remaining time value

This scenario demonstrates the asymmetric nature of option price sensitivity when options are far from at-the-money positions.