What is the approximate delta of an exactly at-the-money call option?
A.
Close to -0.5
B.
Close to 0.5
C.
Close to 0
D.
Close to 1
The Answer Is:
B
This question includes an explanation.
Explanation:
The delta of an at-the-money call option is close to 0.5. It is close to 1 when it is deep in the money. It is close to 0 when it is deep out of the money. It is never negative. Therefore Choice 'b' is the correct answer.
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