Are dividends good?

A company XYZ announced that they will be issuing a special dividend of $1, payable to stock owners with an ex-div date of June 3rd.

If you own a European call on the $30 strike expiring in May with a delta of 100, how would you expect your position to change?

Assume that there is no change in the share price or volatility structure.

No change, the dividend doesn't affect this option Gain $1, as the forward price will increase by $1, and the delta is 100 Lose $1, as the forward price will drop by $1, and delta is 100

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