The delta of an option refers to the change in the value of an:
A)option for a large unit change in the price of the underlying security
B)option for a small unit change in the price of the underlying security
C)underlying security for a small unit change in the price of the option
D)underlying security for a large unit change in the price of the option

Question

Quizplus · Accepted Answer

Delta measures how much the option's price will change for a small unit change in the price of the underlying security. A delta of 1 means that the option's price will change by the same amount as the underlying security's price. A delta of 0.5 means that the option's price will change by half as much as the underlying security's price, and so on. Therefore, the delta of an option refers to the change in the value of an option for a small unit change in the price of the underlying security.

The Delta of an Option Refers to the Change in the Value