AdvancedMultiple choice
You hold a deep in-the-money call, with delta near . Implied volatility rises sharply. What happens to its delta?
- AIt rises further above one, because higher volatility adds optionality
- BIt falls toward one half
- CIt is unchanged, since delta depends only on the stock price
- DIt turns negative once volatility is high enough to overwhelm the intrinsic value
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