Chapter 05 · Section 5.1
Premium -Price Fall
Consider the same American option: June 100 XYZ Put.
Current date : February
Current price of XYZ : $102
Current premium : $ 5
Gamma : 0
Delta : -0.40
If the price of XYZ were to decrease by $2, the premium will:
d) decrease $0.80.
No. Note that the delta factor for a put option is negative and that the underlying stock decreased in value.
a) increase $0.40.
b) increase $0.80.
c) decrease $0.40.
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