The value of a call option delta is best defined as:
A)between zero and one.
B)less than zero.
C)greater than zero.
D)greater than or equal to zero.
E)greater than one.

Question

Quizplus · Accepted Answer

The value of a call option delta is defined as the ratio of the change in the price of the call option to the change in the price of the underlying asset. As a result, delta is always expressed as a number between zero and one. A delta of zero implies that the call option has no value, whereas a delta of one implies that the call option is worth the same as the underlying asset. Therefore, the best choice is A.

The Value of a Call Option Delta Is Best Defined