13-87 If an option's price increases 1.4 percent for every 2 percent change in the price of the underlying security,what is the value of the option's delta?

Question

Quizplus · Accepted Answer

The delta of an option represents the degree to which the option price moves in relation to the underlying security price. Given that the option's price increases 1.4 percent for every 2 percent change in the price of the underlying security, we can calculate the delta as follows:

Delta = (change in option price) / (change in underlying security price)
Delta = 1.4% / 2%
Delta = 0.7

Therefore, the value of the option's delta is 0.7, which corresponds to choice C.

13-87 If an Option's Price Increases 1