- 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**

The delta is the most sensitive to a change in the underlying price when a call option is ______.

A. deep-in-the-money

B. at-the-money

C. deep-out-of-money

**Explanation:**When the underlying is near the exercise price (at-the-money), delta is most sensitive to a change in the underlying price.

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**User Contributed Comments**
2

User |
Comment |
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taz2017 |
The sensitivity of Delta. Is that Gamma referred to here? |

littlecow |
Good one, taz2017. Gamma measures the sensitivity of delta. So Gamma is the biggest when it's at the money. |