$\begin{array}{llcc}
\text { Stock price } &\$57 \
\text { Strike price} &\$60\
\text { Time to maturity } &56 \text {days}\
\text { Standard deviation } &79\%\
\text { Risk-free rate } &5.1\%\

\end{array}$

When the time period is in days, such as 56 days, the input for the time period is " = 56/365"
-What is the delta of the put option?
A) -0.489
B) -0.315
C) -0.500
D) -0.388
E) -0.494

Question

$\begin{array}{llcc}
  \text { Stock price } &\$57  \
 \text {  Strike price} &\$60\
 \text { Time to maturity } &56  \text {days}\
 \text { Standard deviation } &79\%\
 \text { Risk-free rate } &5.1\%\

\end{array}$

When the time period is in days, such as 56 days, the input for the time period is " = 56/365"
-What is the delta of the put option?
A) -0.489
B) -0.315
C) -0.500
D) -0.388
E) -0.494

Quizplus · Accepted Answer

The delta of a put option can be calculated using the Black-Scholes model, which requires inputs including the stock price, strike price, time to maturity (in years), standard deviation (volatility), and the risk-free rate. The given information suggests a scenario where the Black-Scholes model or a similar option pricing model must be used to calculate the delta. The correct answer, E) -0.494, likely comes from such a calculation, indicating a negative delta close to -0.5, which is typical for a put option that is at-the-money or near-the-money, given the stock price is close to the strike price. Delta values for put options range from -1 to 0, and this value suggests the option's price will decrease by approximately 0.494 units for every 1 unit increase in the stock price, reflecting the inverse relationship between the stock price and the put option's value.

When the Time Period Is in Days, Such as 56