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Delta of a call option is approximately:
AThe change in option price per unit change in time
BThe change in option price per unit change in underlying
CThe change in option price per unit change in volatility
DThe change in option price per unit change in interest rate
Answer & Solution
Correct answer: B. The change in option price per unit change in underlying
1. Identify what the question asks: this concept maps to delta (§7.3).
2. Apply the framework or formula relevant to the topic.
3. Eliminate distractors and arrive at the correct option (B).
_Source: ICAI BoS CA Final Paper 2, Ch 9 "Derivatives Analysis and Valuation"_
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