- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 34. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility

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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 ______

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.

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**User Contributed Comments**
1

User |
Comment |
---|---|

dblueroom |
small change in price change of the underlying .5x.5 |