alleryStart learning →Delta of a long call vanilla option lies in which range?
ABetween 0 and 1
BBetween 0 and -1
CBetween 1 and 2
DBetween -2 and -1
Answer & Solution
Correct answer: A. Between 0 and 1
A long call behaves like between none and one whole share of the underlying, so delta is between 0 and 1.
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