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Basic Question 11 of 32

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.
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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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Lina

Lina

Learning Outcome Statements

interpret each of the option Greeks;

describe how a delta hedge is executed;

describe the role of gamma risk in options trading;

define implied volatility and explain how it is used in options trading.

CFA® 2025 Level II Curriculum, Volume 5, Module 32.