- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility

###
**CFA Practice Question**

Consider a call option, with X = $40; r = 0.06; T = 90 days; σ = 0.1; and S

B. 1

C. This cannot be determined but it is very sensitive to a change in the underlying price.

_{0}= $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 |