The delta of an option measures, approximately,
A) The dollar change in option value for a $1 change in the price of the underlying.
B) The percentage change in option value for a 1% change in the price of the underlying.
C) The risk-neutral probability that the option finishes in-the-money.
D) The reaction of the option to a sudden jump in the price of the underlying.

Question

Quizplus · Accepted Answer

Delta measures the dollar change in option value for a $1 change in the price of the underlying. It is a ratio, and typically ranges from 0 to 1 for calls and -1 to 0 for puts.

The Delta of an Option Measures, Approximately