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CFA Level 2
Derivatives

Effect of Underlying Price Change on Call Option Delta

Very Easy Option Valuation Greeks

ABC Corporation has issued a call option with a strike price of $50. As part of your analysis, you need to understand how the option's delta, one of the Greeks, behaves. Delta represents the rate of change of the option's price with respect to the change in price of the underlying asset.

If the current price of the underlying asset rises by $1, what is the expected effect on the delta of this call option?

Hint

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