Consider two 2-year options with a strike price of $52 on a stock whose current price is $50. The exhibits below show the binomial trees used to price the two options. There are two steps of 1 year and in each step the stock either moves up by 20% or moves down by 20%. The risk-free rate is 5%.

Which of the following is true regarding the delta of the option presented in Exhibit 3?

		Delta is -0.7357 for the first step and it changes over time.
		Delta is -0.4024 for the first step and is different for the second step
		Delta may be +1.00 in the second step
		Delta will be the same for both steps

Exhibit 3 72 0 60 1.4147 48 50 4.1923 4 40 9.4636 32 20 Exhibit 4 72 0 60 1.4147 50 5.0894 48 4 40 12.0 32 20