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.
  No. A delta factor is calculated for a certain price of the underlying. If the price of the underlying changes, the delta factor has to change.
  b) It would increase to almost 0.
  c) It would increase to almost 0.

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