When does a change in the value of a call option come closest to matching the change in the price of the stock?
A) When the stock is priced far above the exercise price.
B) When the stock is priced far below the exercise price.
C) When the stock is priced near zero.
D) Changes in call value always come close to matching changes in stock price.

Question

Quizplus · Accepted Answer

When the stock price is far above the exercise price, the call option is deep in-the-money, and its delta approaches 1, meaning changes in the call's value closely match changes in the stock price.

When Does a Change in the Value of a Call