Consider a stock that is trading at $50. A six-month at-the-money call option on the stock has a price of 3.45 and a delta of 0.60. The stock volatility is 20%, the risk-free rate is 4%, and the beta of the stock is 1.1. What is the beta of the call?
A) 0.66
B) 1.1
C) 9.56
D) 15.94

Question

Quizplus · Accepted Answer

The beta of the call is given by the formula:Beta_call = Delta * Beta_stockSubstituting the given values, we get:Beta_call = 0.60 * 1.1 = 0.66Therefore, the correct answer is C) 0.66.

Consider a Stock That Is Trading at $50