Chapter 05 · Section 5.1

Example - Delta Factor

Suppose the same American option: June 90 XYZ Call, were nearer expiration and deep in-the-money.

Current date            May 
        
Current price of XYZ :  $97
Current premium      :  $ 8
Gamma                :  0.2
Delta                :    ?

What would happen to the delta factor?

a) It would still be 0.5.
No. A delta factor is calculated for a certain price of the underlying. It changes as soon as the price of the underlying changes.
b) It would increase to almost 1.0.
c) It would decrease to almost 0.