Chapter 05 · Section 5.1

Delta Factor

Suppose the same American option: June 100 XYZ Put, were nearer expiration and deep in-the-money(the price of XYZ has decreased):

Current date             May   

Current price of XYZ :  $ 93                
Current premium      :  $  8 
Gamma                :     0
Delta                :     ? 

a) It would still be -0.4.
b) It would increase to almost 0.
c) It would increase to almost 0.

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