The delta of an option is:
A) The sensitivity of the option value to changes in interest rates
B) The sensitivity of the option value to changes in volatility
C) The sensitivity of the option value to changes in the time to expiry
D) The sensitivity of the option value to changes in the price of the underlying

Question

Quizplus · Accepted Answer

Delta is the sensitivity of the option value to changes in the price of the underlying asset. It measures the amount of price change in the option for every $1 change in the underlying asset. Therefore, the correct answer is D. Choices A, B, and C are incorrect because they refer to other measures such as gamma, vega, and theta respectively.

The Delta of an Option Is