Which of the following is true about the value of the delta of an option?
A)It lies between 0 and 0.5.
B)It is always negative.
C)It lies between 0 and 1.
D)It is greater than 1.
E)It is always equal to 1.

Question

Quizplus · Accepted Answer

The delta of an option is a measure of its sensitivity to changes in the underlying asset price. It ranges from 0 to 1 for call options (0 to -1 for put options), with at-the-money options having a delta close to 0.5. Therefore, choice (C) is the correct answer.

Which of the Following Is True About the Value of the Delta