VAR Pristine Quiz

maheshnath
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Joined: Sat Sep 22, 2012 3:00 pm

VAR Pristine Quiz

Postby maheshnath » Mon Oct 08, 2012 7:24 pm

The below question asks about the Call Delta. Looks like the Answer is for the Put delta..Can you pls confirm !!

3. A 90-day European put option on Microsoft has an exercise price of $30. The current market price for Microsoft is $30. The delta for the corresponding current call option is close to:
A. -1.0
B. -0.5
C. 0.5
D. 1.0
Ans: B.
─ The delta of an at-the-money put option is close to -0.5. The delta of a put option approaches minus one as the put goes deep in the money, and approaches zero as the put goes deep out of the money.
─ INCORRECT: A, The delta of a put option approaches minus one as the put goes deep in the money, and approaches zero as the put goes deep out of the money.
─ INCORRECT: C, The delta of a put option approaches minus one as the put goes deep in the money, and approaches zero as the put goes deep out of the money.
─ INCORRECT: D, The delta of a put option approaches minus one as the put goes deep in the money, and approaches zero as the put goes deep out of the money.

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swarnendupathak
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Re: VAR Pristine Quiz

Postby swarnendupathak » Tue Oct 09, 2012 11:04 am

Hi,
I think u are right, as delta of a Call option is always positive, & at the money call option will have Delta of +0.5 instead of -0.50.

Thanks
Swarnendu

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shreyas
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Re: VAR Pristine Quiz

Postby shreyas » Mon Oct 15, 2012 3:23 pm

Mahesh,

Swarnendu is absolutely correct. The solution given is incorrect, thanks for making note of it and the answer should be C that is 0.5.

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shreyas
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Re: VAR Pristine Quiz

Postby shreyas » Mon Oct 15, 2012 3:36 pm

Mahesh,

Where did you get this question from?. Please give the quiz name. It would be helpful.
Thanks.

maheshnath
Posts: 7
Joined: Sat Sep 22, 2012 3:00 pm

Re: VAR Pristine Quiz

Postby maheshnath » Sat Oct 20, 2012 5:39 pm

This question is from the Pristine VAR quiz which has 20 questions.


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