The percentage change in the stock call-option price divided by the percentage change in the stock price is called
A) the elasticity of the option.
B) the delta of the option.
C) the theta of the option.
D) the gamma of the option.

Question

Quizplus · Accepted Answer

The elasticity of an option, often referred to as the option's lambda, measures the percentage change in the option price relative to the percentage change in the underlying stock price, making choice A correct. Delta measures the rate of change of the option price with respect to changes in the underlying asset's price, not the percentage change. Theta represents the rate of change of the option price with respect to time, and Gamma measures the rate of change in the delta of the option per one-point change in the underlying asset's price.

The Percentage Change in the Stock Call-Option Price Divided by the Percentage