Omega Case
When the long call is in the money and the short call is out of money at expiration, the overall delta is close to 1?
Can someone kindly explain why?
An in-the-money call at expiration has a delta of +1.0.
An out-of-the-money call at expiration has a delta of 0.0
The two put together have a delta of 1.0 + 0.0 = 1.0.
So its a simple addition? What if they are both in the money, what would the delta be?
You would still add them together. You know the deltas with 100% certainty here becuase they are at expiration. This would not be the case if they were not at expiration.
So both in the money would have a delta of 2.
bumping this because Im not understanding this.
I am curious why we are using 1 and 0 when exhibit 2 says the detas are .75 and .3 at value 91 (which is what the question asked.