The value of a call option delta is best defined as a value that is:
A) between zero and one.
B) less than zero.
C) greater than zero.
D) greater than or equal to zero.
E) less than or equal to zero.

Question

Quizplus · Accepted Answer

The delta of a call option is defined as the rate of change of the option price with respect to the underlying asset price. As the underlying asset price increases, the call option price also increases. Therefore, the delta value of a call option is always between zero and one, with a higher value indicating a stronger correlation between the option price and the underlying asset price.

The Value of a Call Option Delta Is Best Defined