A stock is currently trading at $S _ { 0 } = 21.30$ . It is not expected to pay dividends over the next year. You price a one-month put option on the stock with a strike of $K = 22.50$ using the Black-Scholes model and find the following numbers: $$\begin{array} { r l r l }
d _ { 1 } & = - 0.666 & d _ { 2 } & = - 0.738 \
N \left( d _ { 1 } \right) & = 0.253 & N \left( d _ { 2 } \right) & = 0.230
\end{array}$$ Given this information, the delta of the put is
A) $- 0.770$ .
B) $- 0.334$ .
C) $- 0.262$ .
D) $- 0.747$ .

Question

A stock is currently trading at $S _ { 0 } = 21.30$ . It is not expected to pay dividends over the next year. You price a one-month put option on the stock with a strike of $K = 22.50$ using the Black-Scholes model and find the following numbers: $$\begin{array} { r l r l } 
d _ { 1 } & = - 0.666 & d _ { 2 } & = - 0.738 \
N \left( d _ { 1 } \right) & = 0.253 & N \left( d _ { 2 } \right) & = 0.230
\end{array}$$ Given this information, the delta of the put is
A) $- 0.770$ .
B) $- 0.334$ .
C) $- 0.262$ .
D) $- 0.747$ .

Quizplus · Accepted Answer

The Answer of A stock is currently trading at $S _ { 0 } = 21.30$ . It is not expected to pay dividends over the next year. You price a one-month put option on the stock with a strike of $K = 22.50$ using the Black-Scholes model and find the following numbers: $$\begin{array} { r l r l } 
d _ { 1 } & = - 0.666 & d _ { 2 } & = - 0.738 \
N \left( d _ { 1 } \right) & = 0.253 & N \left( d _ { 2 } \right) & = 0.230
\end{array}$$ Given this information, the delta of the put is
A) $- 0.770$ .
B) $- 0.334$ .
C) $- 0.262$ .
D) $- 0.747$ .

A Stock Is Currently Trading At S0=21.30S _ { 0 } = 21.30S0​=21.30

A Stock Is Currently Trading At $S _ { 0 } = 21.30$