Which one of the following statements is correct?
A)Both call and put option deltas are always positive.
B)Put option deltas are always positive.
C)Call option deltas are always positive.
D)Both call and put option deltas are always negative.
E)All deltas can be positive, negative, or equal to zero.

Question

Quizplus · Accepted Answer

Call option deltas measure the change in the option price with respect to a change in the price of the underlying asset, and are always positive for a long call option. Put option deltas, on the other hand, measure the change in the option price with respect to a change in the price of the underlying asset, but are negative for a long put option. Therefore, statement A, B, and D are incorrect, and statement E is too general.

Which One of the Following Statements Is Correct