Monki Ma, CFA lvl 2 canddiate, is supposed to be testing this Imagine Option Trading Application for his company instead of studying CFA at work… anyway, he was loading a trader’s portfolio and find out some exotic call option holdings have a negative delta … in what scenario can this happen? A) Today is the date of maturity for those options B) The call option is at the money C) Volatility is higher than expected D) The option is mispriced
I just figured that this actually possible but the reason is not the above 4… and is probably not covered in the cirriculumn so lets’ forget this
It’s in the "exotic"part. For example a knock-in option could have a negative delta prior to being knocked-in.