- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 41. Measuring and Managing Market Risk
- Subject 2. Other Key Risk Measures
CFA Practice Question
Which option has a delta that is approximately zero?
B. A deep out-of-the-money put
C. An at-the-money call
A. A deep in-the-money call
B. A deep out-of-the-money put
C. An at-the-money call
Correct Answer: B
A delta of zero means the option value does not change when the value of the underlying changes.
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