An equity option's theoretical delta reflects the sensitivity of its market price to changes in:
A) the volatility of the underlying stock price
B) the dividends paid to the underlying stockholders
C) the underlying stock price
D) the time to expiration

Question

Quizplus · Accepted Answer

The delta of an equity option measures its price sensitivity to a change in the price of the underlying stock. Specifically, delta is the ratio of the change in the option's premium to the change in the price of the underlying stock. Therefore, the correct answer is C, the underlying stock price.

An Equity Option's Theoretical Delta Reflects the Sensitivity of Its