Question
You are long the June 120 call from the table above, which has 51 days to expire. The underlying stock price is 125.94, and the
You are long the June 120 call from the table above, which has 51 days to expire. The underlying stock price is 125.94, and the current delta is .71. With all other variables being equal, if 30 days pass and the stock is still 125.94, the following statements about the new delta are most correct. (hint: think of the probability of the June 120 calls now finishing in the money after time has passed)
the delta will be closer to zero since the June 120 call is out-of-the-money
the delta will be closer to 100 than zero
the delta will be closer to 50
the delta will still be .71
You are long the June 130 call from the table above, which has 51 days to expire. The underlying stock price is 125.94, and the current delta is .32. With all other variables being equal, if 30 days pass and the stock is still 125.94, the following statements about the new delta are most correct. (hint: think of the probability of the June 130 calls now finishing in the money after time has passed)
the delta will be closer to zero
the delta will be closer to 100 than zero
the delta will be closer to 50
the delta will still be .32
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Question one Answer a the delta will be closer to zero since the June 120 call is outof...
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
