EasyOptions & Greeks

Delta of an ATM Call

OptiverIMC Trading

Roughly what is the delta of an at-the-money European call on a non-dividend stock with short time to expiry?

Hints

Delta of a call is $N(d_1)$ .

At-the-money, $d_1$ is near zero.

Sign in to reveal the full worked solution, check your answer instantly, and track your progress with spaced-repetition review.