CFA Practice Question

There are 227 practice questions for this study session.

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
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