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Which of the following statements regarding the delta

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Reference no: EM133016054

An option strategy called "butterfly" involves establishing the following three positions to- gether:

Long 1 share of out-of-the-money call option.

Short 2 shares of at-the-money call option with the same maturity.

Long 1 share of in-the-money call option with the same maturity.

Which of the following statements regarding the Delta of this "butterfly" strategy is correct?

  1. (A) The Delta is between -1 and 1 and first increases, then decreases, and finally increases with the current stock price.
  2. (B) The Delta is between -1 and 1 and first increases and then decreases with the current stock price.
  3. (C) The Delta is between -1 and 1 and first decreases, then increases, and finally decreases with the current stock price.
  4. (D) The Delta is between 0 and 1 and first decreases and then increases with the current stock price.

Reference no: EM133016054

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