For otherwise equivalent call options on a certain stock, for which of these values of strike price (K) and time to expiration (T) would you expect delta to be the highest? The stock price at both T =...
For otherwise equivalent call options on a certain stock, for which of these values of strike price (K) and time to expiration (T) would you expect delta to be the highest? The stock price at both T = 0.5 and T = 0.4 is $100.
A. K = $97, T = 0.5
B. K = $97, T = 0.4
C. K = $105, T = 0.5
D. K = $105, T = 0.4
E. K = $100, T = 0.5
F. K = $100, T = 0.4
Homework Answers
B. K = $97, T = 0.4
Lower the strike price higher is the delta
and for call options with strike price less than stock price, lower
the time to expiry higher is the delta
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