The delta of an option is ________.
A) the change in the dollar value of an option for a dollar change in the price of the underlying asset
B) the change in the dollar value of the underlying asset for a dollar change in the call price
C) the percentage change in the value of an option for a 1% change in the value of the underlying asset
D) the percentage change in the value of the underlying asset for a 1% change in the value of the call

Question

Quizplus · Accepted Answer

The delta of an option is the change in the dollar value of an option for a dollar change in the price of the underlying asset. It represents the sensitivity of the option's price to changes in the price of the underlying asset. A delta of 1 means that the option's price will increase by $1 for every $1 increase in the price of the underlying asset, while a delta of 0.5 means that the option's price will increase by $0.50 for every $1 increase in the price of the underlying asset, and so on.

The Delta of an Option Is ________