CFA Practice Question

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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 ______

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
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