Option Greeks: Level 2-3 Challenges Practice Problems Online

What can we say about the vega of an ATM option?

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As volatility increases, what happens to the price of an option?

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Which of the following is not a good approximation for delta of a call option?

Hedge ratio required to remain delta neutral The price of the call divided by the price of the underlying The negative of the rate of change in the price of the call as the strike increases The rate of change in the price of the call with respect to the underlying The probability that the call will be ITM on expiration

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When the stock is trading at $115, the put option on the $113 strike with 30 days to expiry is worth $1.34. It has a delta of -0.3357 and a gamma of 0.062.

How much would the put option be worth if the underlying increases to $117?

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If the delta of the call on the 30 strike expiring in June is 0.35, what is the delta of the put on the 30 strike expiring in June?

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Option Greeks

Challenge Quizzes

Level 2-3