How do you interpret a delta of 0.30?
A)A delta of 0.30 means that a one-cent change in the price of the underlying asset of the option leads to a 0.30 cent change in the price of the option.
B)A delta of 0.30 means that a 10-cent change in the price of the underlying asset of the option leads to a 0.30 cent change in the price of the option.
C)A delta of 0.30 means that a one-dollar change in the price of the underlying asset of the option leads to a 0.30 cent change in the price of the option.
D)A delta of 0.30 means that a one-dollar change in the price of the underlying asset of the option leads to a 30% change in the price of the option.

Question

Quizplus · Accepted Answer

Delta measures the change in the price of an option in relation to the change in the price of the underlying asset. A delta of 0.30 means that for every one-cent change in the price of the underlying asset, the price of the option will change by 0.30 cents.

How Do You Interpret a Delta of 0.30