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Basic Question 9 of 13

Which option has a delta that is approximately zero?

A. A deep in-the-money call
B. A deep out-of-the-money put
C. An at-the-money call

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Craig Baugh

Learning Outcome Statements

describe sensitivity risk measures and scenario risk measures and compare these measures to VaR;

demonstrate how equity, fixed-income, and options exposure measures may be used in measuring and managing market risk and volatility risk;

describe the use of sensitivity risk measures and scenario risk measures;

describe advantages and limitations of sensitivity risk measures and scenario risk measures;

CFA® 2025 Level II Curriculum, Volume 5, Module 41.