For put options, the delta has a negative sign
A)since the value of the put option falls when bond prices rise.
B)since the value of the put option rises when bond prices rise.
C)since the value of the put option falls when bond prices fall.
D)since the change in interest rates is equal to the change in the interest rate on the bond underlying the option contract.
E)to adjust for basis risk.

Question

Quizplus · Accepted Answer

The delta of a put option is negative because the value of the put option decreases as the price of the underlying asset (in this case, bonds) increases. Delta measures the rate of change of the option's price with respect to changes in the price of the underlying asset.

For Put Options, the Delta Has a Negative Sign