A 6-month call option on ABC stock is priced at $2.80.The call option delta is 0.66.How will the approximate call option price be computed if the underlying stock price increases by $1?
A) $2.80
B) $2.80 - $0.66
C) $2.80 + $0.66
D) $2.80 × 0.66
E) $2.80 × (1 + 0.66)

Question

Quizplus · Accepted Answer

The approximate call option price change can be computed by multiplying the delta by the change in the stock price. Therefore, the new option price would be:
$2.80 + (0.66 x $1) = $3.46
Option C is the closest choice to $3.46.

A 6-Month Call Option on ABC Stock Is Priced at $2.80.The