Question #14
Reading: Reading 31 Valuation of Contingent Claims
PDF File: Reading 31 Valuation of Contingent Claims.pdf
Page: 6
Status: Unattempted
Question
Compared to the delta of a long position in a stock, the delta of an at-the-money call option on the stock is most likely to be:
Answer Choices:
A. the same
B. less
C. greater
Explanation
The delta of an at-the-money call option is typically close to 0.5. The delta of a long
position in the underlying stock is 1.0 by definition.