Question

What does it mean to assert that the delta of a call option is 0.7 ? How can a short position in 1,000 options be made delta neutral when the delta of each option is 0.7 ?

   What does it mean to assert that the delta of a call option is 0.7 ? How can a short position in 1,000 options be made delta neutral when the delta of each option is 0.7 ?

Options, Futures, and Other Derivatives

Options, Futures, and Other Derivatives

John C. Hull 10th Edition

Chapter 19, Problem 2

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7, it means that for every $1 increase in the price of the underlying asset, the price of the call option will increase by $0.7. Delta measures the sensitivity of the option price to changes in the underlying asset price. To make a short position in 1,000 options Show more…

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What does it mean to assert that the delta of a call option is 0.7 ? How can a short position in 1,000 options be made delta neutral when the delta of each option is 0.7 ?

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