Which of the following statements best describes the delta of vanilla options?
A)Call and put deltas are both positive.
B)The call delta is positive and the put delta is negative.
C)The call delta is negative and the put delta is positive.
D)Call and put deltas are both negative.

Question

Quizplus · Accepted Answer

The delta of a call option is positive because the value of the call option increases as the underlying asset price increases. The delta of a put option is negative because the value of the put option decreases as the underlying asset price increases. Therefore, the answer is B, where the call delta is positive and the put delta is negative.

Which of the Following Statements Best Describes the Delta of Vanilla