Financial Risk Manager Part 1

Get started today

Ultimate access to all questions.

Explanation:

A long straddle is long one call and long one put. If the call delta is +0.62, then for a non-dividend-paying stock the corresponding put delta is approximately:

\Delta_{put} = \Delta_{call} - 1 = 0.62 - 1 = -0.38

Therefore, the net delta of the long straddle is:

0.62 + (-0.38) = +0.24

So the position delta is positive.

Explanation:

A long straddle is long one call and long one put. If the call delta is +0.62, then for a non-dividend-paying stock the corresponding put delta is approximately:

\Delta_{put} = \Delta_{call} - 1 = 0.62 - 1 = -0.38

Therefore, the net delta of the long straddle is:

0.62 + (-0.38) = +0.24

So the position delta is positive.

Comments (0)

No comments yet.

Question 185.2. An investor purchases a (bottom) straddle with at-the-money (ATM) options. The percentage delta (i.e., delta per option) of the ATM call option is +0.62; for example, if she purchases 100 call options, then the position delta is 0.62 percentage delta * 100 options = +62 position delta. At the time of purchase, what is the position delta of the long straddle?

Exam-Like

Community

MManit

Last updated: April 18, 2026 at 11:32

Negative

15.8%

Zero

31.6%

Positive

42.1%

Need more information

10.5%