Q-57. The call option is deep in-the-money and must have a delta close to one. The put option is deep out-of-the-money and will have a delta close to zero. Therefore, the value of the in-the-money call will decrease by close to USD 1, and the value of the out-of-the-money put will increase by a much smaller amount close to 0.
Exam-Like
A
Call: -1.00; Put: +0.05
B
Call: -0.50; Put: +0.50
C
Call: -0.05; Put: +1.00
D
Call: +0.95; Put: +0.05
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##### Q-57. The call option is deep in-the-money and must have a delta close to one. The put option is deep out-of-the-money and will have a delta close to zero. Therefore, the value of the in-the-money call will decrease by close to USD 1, and the value of the out-of-the-money put will increase by a much smaller amount close to 0. | Financial Risk Manager Part 1 Quiz - LeetQuiz
