The elasticity of an option is
A) the volatility level for the stock that the option price implies.
B) the continued updating of the hedge ratio as time passes.
C) the percentage change in the stock call-option price divided by the percentage change in the stock price.
D) the sensitivity of the delta to the stock price.

Question

Quizplus · Accepted Answer

The elasticity of an option, also known as the option's leverage, is defined as the percentage change in the option price divided by the percentage change in the underlying stock price. This measures how much the price of an option will change in response to a change in the price of the underlying asset.

The Elasticity of an Option Is