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?

b) It would increase to almost 1.0.
Yes. The delta factor of a call option, which moves deeper in-the-money, converges to one. Continue
c) It would decrease to almost 0.