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The delta-gamma approximation would be: (IOP) + (DELTA)(UPC) + (.50)(GAMMA)*(UPC)^2 where: IOP = Initial Option Price UPC = Underlying Price Change So the expected new price would be: (.50) + (.50)(51-50) + (.50)(.50)(51-50)(51-50) which equals $1.25 Note that this is just an approximation. With the stats that you offered, it's going to be close to ...

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