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CFA Level 2
Derivatives

Impact of Underlying Price on Delta

Very Easy Option Valuation Greeks

Consider a European call option with a current market price of $5. The underlying stock has a current price of $100, a strike price of $95, and a time to expiration of six months. The implied volatility of the stock is 20%. If the price of the underlying stock increases, which of the following Greeks would MOST likely increase?

Hint

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