The delta of a cash-or-nothing call option is highest when the option is
A)Deep out-of-the-money.
B)At- or near-the-money.
C)Deep in-the-money.
D)25% out-of-the-money.

Question

Quizplus · Accepted Answer

The delta of a cash-or-nothing call option is highest when the option is at- or near-the-money because this is where the probability of finishing in the money changes most rapidly with changes in the underlying asset's price.

The Delta of a Cash-Or-Nothing Call Option Is Highest When