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Answer: Positive
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.
Author: Manit Arora
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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?
A
Negative
B
Zero
C
Positive
D
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