CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

For a call option with a delta of 0.2, a $0.90 decrease in the underlying price (current price: $2.37) will cause the price of the call option to ______
A. increase by $0.18.
B. decrease by $0.18.
C. It's hard to determine given the information.
Explanation: In this case the approximation based on delta would be not accurate as the price change is pretty large (38%).

User Contributed Comments 4

User Comment
danlan2 Good one.
osunks This bit me hard! Dived for $0.18. Nice one!
volkovv Good question. I got tricked into $0.18 as well.
paolino9290 you'd also need to know the option gamma
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