Can someone explain? If i have 100 long calls and 100 short calls with Delta 1 and Delta 0 then why is the overall delta 1? should it average to 0.5?
From the practice problems ---- “If the price of XXX= $91, then the long call (exercise price = $88) will be in the money and its delta would be close to 1.0. The short call (exercise price = $94) will be out of the money and (very close to expiration) its delta would be close to 0.0. The overall delta is then very close to 1.0.”