alleryStart learning →A call has delta 0.65 and no dividends exist. What is the delta of the same-strike put?
AMinus 0.35
BMinus 0.65
C0.35
DMinus 1.65
Answer & Solution
Correct answer: A. Minus 0.35
Call delta minus put delta is about 1, so put delta is 0.65 minus 1 = minus 0.35.
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