CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

A call option with an exercise price of $25.00 is currently valued at $3.22. The price of the underlying asset itself is $24.75. If the price of the underlying asset appreciates to $25.50 and the delta of the option is 0.35, what will be the return from holding the call option?
A. 3.45%
B. 5.43%
C. 8.15%
Explanation: Delta = change in the value of the call / change in the value of the asset

0.35 = Δc/(25.50 - 24.75) => Δc = 0.2625. The call value should increase by 0.2625 or 0.2625/3.22 = 8.15%.

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