The delta of a call measures the:
A)time remaining to expiration compared to the option's original maturity.
B)change between an option's original value and its current value.
C)swing in the price of the call relative to the swing in the underlying stock price.
D)ratio of the change in the option price to the change in the time to expiration.
E)volatility of the underlying security.

Question

Quizplus · Accepted Answer

The delta of a call measures the swing in the price of the call relative to the swing in the underlying stock price. It basically measures the degree to which the option price will move in relation to a change in the underlying asset's price. Options with a delta of 1 will move in the same direction as the underlying asset, while options with a delta of 0 will not move at all. Thus, the correct option is C, which talks about the relationship between the price of the call and the price of the underlying asset.

The Delta of a Call Measures The