Is “for any equity call optioln, delta will be approximately 1.0” a correct statement? It’s refering to Winters case in CFAI Derivatives topic test. I thought it’s wrong because the delta should be between 0 and 1 for calls, and close to 1 if it’s deeply in the money. But answer says another statment is wrong, instead of this one.
Check back the original statement. It reads “for any equity call option, delta will be approximately 1.0…whenever the option is in the money as it nears maturity”. Now this is a true statement.
Ok didn’t know that sentense was that long…thanks a lot kroko!