Suppose Jo's Stock Price Is Currently $100

question 56

Multiple Choice

Suppose Jo's stock price is currently $100.In the next three months it will either fall to $70 or rise to $120.What is the option delta of a call option with an exercise price of $100?

• A) 0.375
• B) 0.60
• C) 0.40
• D) 0.75

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