- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility

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**CFA Practice Question**

Which statement is FALSE?

A. The Black model is applicable to options on underlying instruments that are costless to carry.

B. If there is an agreed-upon model in the market, quoting a particular option on its price is equivalent to quoting it on the implied volatility.

C. Delta addresses how likely the underlying stock price change will be.

**Explanation:**C is false. Delta is a static risk measure. It measures how much the option value will change given a change in the stock price.

B is true. There is a one-to-one relationship between the implied volatility and the option price. The implied volatility can be used as a quoting mechanism.

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