Which of the following is true 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.
E)It is always equal to 1.

Question

Quizplus · Accepted Answer

The delta of an option lies between 0 and 1. It represents the sensitivity of the option price to a change in the price of the underlying asset. A delta of 0 means that the option price will not change at all if the underlying asset price changes, while a delta of 1 means that the option price will change by an equal amount to the change in the underlying asset price. A delta of 0.5 means that the option price will change by half the amount of the change in the underlying asset price.

Which of the Following Is True of the Delta of an Option