AppliedMultiple choice
Nothing moves overnight except the calendar. What happens to the delta of an out-of-the-money call?
- AIt rises toward one, because the option has had one more day to go in the money
- BIt falls toward zero
- CIt does not change, since delta depends only on price and volatility
- DIt flips sign when the option reaches its final week
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Reported in interviews at
More the greeks and hedging questions
- An option has delta 0.5 and gamma 0.04 per share.Foundation
- Living with a long straddle, part 1 of 4Foundation
- Theta pays for gamma, part 1 of 3Foundation
- An option has delta 0.5 and gamma 0.04 per share.Applied
- Two at-the-money options on the same stock have the same implied volatility…Applied
- Living with a long straddle, part 2 of 4Applied