The delta of a put option on a share is always ________.
A)between zero and -1
B)between -1 and 1
C)positive but less than 1
D)greater than 1

Question

Quizplus · Accepted Answer

The delta of a put option ranges between zero and -1. This is because the delta of a put option reflects the change in the price of the option for every one-point change in the price of the underlying share. As the price of the underlying share decreases, the value of the put option increases, resulting in a negative delta. Since the price of the underlying share can only decrease up to zero, the delta of a put option cannot be less than zero. On the other hand, since the price of the put option can only increase up to its strike price, the delta cannot be greater than -1.

The Delta of a Put Option on a Share Is