The delta of an option is:

Question

Options

• AThe sensitivily of the option value to changes in interest rates
• BThe sensitivity of the option value to changes in volatility
• CThe sensitivity of the option value to changes in the time to expiry
• DThe sensitivity of the option value to changes in the price of the underlying

• A
  19% (6)
• B
  6% (2)
• C
  3% (1)
• D
  72% (23)

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