- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
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.
User Contributed Comments 2
| User | Comment |
|---|---|
| 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. |