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3.1 Delta: a. An option is trading at $3.45. If it has a delta of.78, what would the price of the option be if the
3.1 Delta: a. An option is trading at $3.45. If it has a delta of.78, what would the price of the option be if the underlying increases by $.75? What would the price of the option be if the underlying decreases by $.55? b. What type of option is this? Explain your answer. c. With a delta of.78, is this option ITM, ATM or OTM? Explain your answer. 3.2 Delta: a. An option is trading at $5.03. If it has a delta of - 56, what would the price of the option be if the underlying increases by $.75? What would the price of the option be if the underlying decreases by $.55? b. What type of option is this? Explain your answer. c. With a delta of -.56, is this option ITM, ATM or OTM? Explain your answer. 3.3 Delta: Look at the following chart. Rank the options in terms of moneyness, from deepest ITM to deepest . . Option Type Delta A Call 89 B Call .12 C Put-.75 D Call .16 .35 F E Call Put --50
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