You hold a portfolio of a long position in a call and a short position in a put, both for the same strike and maturity, both written on a non-dividend paying stock. Which of the following statements is most correct?
A) The delta of the portfolio increases when the stock price increases.
B) The delta of the portfolio stays the same when the stock price increases.
C) The delta of the portfolio decreases when the stock price increases.
D) The delta of the portfolio may increase or decrease when the stock price increases.

Question

Quizplus · Accepted Answer

The delta of the call option is positive and the delta of the put option is negative. When the stock price increases, the delta of the call increases and the delta of the put decreases by the same amount. Therefore, the delta of the portfolio stays the same.

You Hold a Portfolio of a Long Position in a Call