CFA Practice Question

There are 227 practice questions for this study session.

CFA Practice Question

Consider a call option, with X = $40; r = 0.06; T = 90 days; σ = 0.1; and S0 = $70. The delta of this call option should be close to ______.

A. -1
B. 1
C. This cannot be determined but it is very sensitive to a change in the underlying price.
Correct Answer: B

As the option is deep-in-the-money, its delta should be close to 1.

User Contributed Comments 3

User Comment
danlan2 Deep in the money, its delta should be close to 1; deep out of money, its delta should be close to 0.
vi2009 At the money & close to expiration, delta = 0.5
tabulator delta is positive for a call
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