CFA Practice Question

There are 227 practice questions for this study session.

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.
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