Impact of Implied Volatility on Call Options

ABC Corporation is currently evaluating its stock options strategy as part of its risk management practices. The company's stock is currently trading at $100, and it has an upcoming options expiration date in one month, with the current implied volatility standing at 25%. In light of recent market conditions, the CFO believes that the implied volatility is likely to increase, which would impact the pricing of the options.

Due to rising uncertainty in the market caused by geopolitical tensions, ABC Corporation is considering purchasing call options with a strike price of $105. The CFO understands that changes in implied volatility can significantly affect the value of these options at expiration.

Given this framework, what will happen to the price of the call options if the implied volatility rises to 40% before expiration?