Schweser does not do a great job highlighting the relationship, but is this right? On the same security, with the same strike: Delta of Call = Delta of Put + 1 and Delta of Put = Delta of Call - 1 Also, if anyone can point to where this is in CFAI, I would greatly appreciate it.
Yes, that’s right. It can be easily derived with the put-call parity as well: c + PV(K) = So + p If you take the derivative with respect to stock price you get: delta_call + 0 = 1 + delta_put
Thanks - taking the derivative makes sense.