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Questions
Questions
Multiple choice

An option's delta (Δ) measures the sensitivity of option price to changes in the price of the underlying asset.Which of the following statements about option delta is true?Select as many as you think are true.

Options
A.a. When a put option is deep in the money, it's delta will be very close to -1
B.b. For a call option, delta tends to be higher when it is in the money than when the call is out of the money
C.c. If there is no possibility of the option finishing in the money, delta must be zero
D.d. All else being equal, delta will change if the volatility of the underlying asset changes, since volatility affects the likelihood of the option being exercised
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Standard Answer
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Approach Analysis
To evaluate which statements about option delta are true, let's examine each option carefully in the context of standard delta concepts. Option a: 'When a put option is deep in the money, its delta will be very close to -1.' For puts, delta ranges from 0 to -1. When a put is deep in the money (the underlying price is well below the strike), the put is highly sensitive to s......Login to view full explanation

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