- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 34. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility
CFA Practice Question
Consider a put option with X = $40; r = 0.06; T = 90 days; σ = 0.1; and S0 = $70. The delta of this put option should be close to ______.
A. 0
B. 1
C. This cannot be determined but it is very sensitive to a change in the underlying price.
Explanation: When the put option is deep-out-of-the-money, its delta is close to 0.
User Contributed Comments 1
| User | Comment |
|---|---|
| mazen1967 | nd1-1 d1=11 nd1=1 so 0 |