Question

What are the deltas of a call option and a put option with the following characteristics? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., 32.1616.) Stock price = $40 Exercise price = $35 Risk-free rate = 4.9% per year, compounded continuously Maturity = 9 months Standard deviation = 60% per year Answer is complete but not entirely correct. Call option delta Put option delta 0.7216 0.2784 %

Answer 1

For a stock with options having same strike price; sum of absolute values of call & put delta=1

here; call delta=.7216

put delta=1-.7216= .2784

But delta is inversely related and hence put delta = -.2784