- 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
For a call option with a delta of 0.5, a $0.5 increase in the underlying price (current price: $72) will cause the price of the call option to ______
B. decrease by $0.25.
C. increase by $1.
A. increase by $0.25.
B. decrease by $0.25.
C. increase by $1.
Correct Answer: A
The value of a call increases with an underlying price increase: the increase = 0.5 x $0.5 = $0.25.
User Contributed Comments 1
| User | Comment |
|---|---|
| dblueroom | small change in price change of the underlying .5x.5 |