Which of the following is true about the value of the delta of an option?
A)It lies between 0 and 0.5.
B)It is always negative.
C)It lies between 0 and 1.
D)It is greater than 1.

Question

Quizplus · Accepted Answer

The delta of an option is a number between 0 and 1 that represents the change in the value of the option for every $1 change in the price of the underlying asset. It can be positive or negative depending on whether the option is a call or put option. Option delta ranges from 0 to 1 for call options and from 0 to -1 for put options. Therefore, choice C is the correct option.

Which of the Following Is True About the Value of the Delta