If an option's price increases 1.4 percent for every 2 percent change in the price of the underlying security, what is the value of the option's delta?
A)0.60.
B)1.40.
C)0.70.
D)2.00.
E)3.00.

Question

Quizplus · Accepted Answer

Delta is the measure of the sensitivity of an option's price to changes in the underlying asset's price. Here, for every 2 percent change in the price of the underlying security, the option price changes by 1.4 percent. Thus, delta can be calculated as (change in option price/change in underlying price) = 1.4/2 = 0.70. Therefore, the answer is choice letter C.

If an Option's Price Increases 1