AppliedNumeric answer
What is the Black–Scholes delta of a one-year straddle struck at-the-money spot on a stock, with volatility and zero rates? Give four decimals.
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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.
Learn the method
Reported in interviews at
More the greeks and hedging questions
- Why can’t you hedge an option book’s gamma by trading the underlying stock?Foundation
- Reading a book’s risk report, part 1 of 3Foundation
- You are long 50 calls with delta 0.6, short 30 puts with delta −0.4, and short…Applied
- You are long 70 one-month contracts with $4 of vega each.Applied
- A book has delta +2,000 shares, gamma −300 shares per dollar and vega +$5,000…Applied
- You hold 5,000 shares of an $80 stock with a beta of 1.5 to the index.Applied