If the spot rate changes from $1.70/£ to $1.71/£ and there is an option with an initial premium of $0.033/£ and a delta of 0.5, then the new option premium would be:
A) $0.043/£.
B) $0.038/£.
C) $0.005/£.
D) $1.715/£.

Question

Quizplus · Accepted Answer

Using the delta, we can calculate the new option premium as follows: 
Delta * (Spot rate change) + original premium 
0.5 * ($1.71/£ - $1.70/£) + $0.033/£ = $0.038/£

If the Spot Rate Changes from $1