FRM Part I · FRM Exam Part I · Option Sensitivity Measures: The "Greeks"
A European call on a non-dividend-paying stock has delta N(d1) = 0.62. What is the delta of a European put with the same strike, maturity and underlying?
The put delta is -0.38. With no dividends, put delta equals call delta minus one, so 0.62 minus 1 gives -0.38. Simply reversing the call's sign would ignore the parity relationship between the call and put.
- A-0.62
- B-0.38Correct
- C0.38
- D1.62
Explanation
By put-call parity with no dividends, put delta = call delta - 1 = 0.62 - 1 = -0.38. Option -0.62 wrongly just flips the sign of call delta.
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