Delta Characteristics of a European Call Option

Michael is reviewing the valuation of a European call option on a stock with a current price of $50. He notes that the option has a strike price of $55, and it expires in 6 months. The risk-free rate is 1%, and the stock is expected to have a volatility of 20%.

Michael understands that the 'Greeks' provide important insights into the behavior of options. Specifically, he is interested in the Delta of this call option, which represents the sensitivity of the option's price to changes in the underlying stock price.

Which of the following statements best describes the characteristics of Delta for this European call option?