Question

1. As it approached its expiration date what should the delta of an in-the-money Put do?
   1. approach -1.0
   2. stay stable.
   3. approach -.5
   4. approach 0.0
   5. approach 1.0

Answer 1

Hi

Delta of puts varies between 0 and -1. If stock prices go up the price of Put option goes down.

As expiration approcahes delta of an in-the money Put will approach -1. that means at the time of expiration Put option will become worthless.

Hence option a is correct answer here.

Thanks