- 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 S

_{0}= $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 |