13-86 Which of the following is true of the delta of an option?

Question

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The delta of an option lies between 0 and 1. It represents the change in the price of the option relative to the change in the price of the underlying asset. A delta of 0 means that the option's price will not change if the price of the underlying asset changes, while a delta of 1 means that the option's price will change by the same amount as the underlying asset. A delta of 0.5 means that the option's price will change by half as much as the underlying asset. The delta can be positive or negative depending on whether the option is a call or a put.

13-86 Which of the Following Is True of the Delta