Which of the Following Is True for a Call Option

question 20

Multiple Choice

Which of the following is true for a call option on a non-dividend-paying stock when the stock's price equals the strike price?

• A) It has a delta of 0.5
• B) It has a delta less than 0.5
• C) It has a delta greater than 0.5
• D) Delta can be greater than or less than 0.5

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