The Delta of an option is defined as:
A) expected change in the option premium for a small change in time to expiration.
B) expected change in the option premium for a small change in volatility.
C) expected change in the option premium for a small change in the spot rate.
D) expected change in the option premium for a small change in the domestic interest rate.

Question

Quizplus · Accepted Answer

The Delta of an option measures the expected change in the option premium for a small change in the spot rate, which is the current market price of the underlying asset. The other options listed are known as other Greeks, including Theta (A), Vega (B), and Rho (D), which measure the impact of changes in time to expiration, volatility, and interest rates, respectively, on the option premium.

The Delta of an Option Is Defined As