QUIZ 8.7: Delta

Complete this definition of delta:
Delta is a measure of the option price’s sensitivity to movements in the underlying asset price. An option’s delta indicates how much the option’s value will change…

Imagine you buy a call option with a delta of 0.3. If the underlying price increases by $1, what change in the value of your position would be expected?

Imagine you buy a put option with a delta of -0.3. If the underlying price increases by $1, what change in the value of your position would be expected?

Imagine you sell a put option with a delta of -0.25. If the underlying price increases by $1, what change in the value of your position would be expected?

Given what you learned about the delta for multi-leg option positions in lecture 8.5, what is the total delta of a position consisting of the following two options:

+1 call with a delta of 0.24

+1 put with a delta of -0.15

Sticking with multi-leg positions, what is the total delta of a position consisting of the following options:

+1 call with a delta of 0.33

-1 put with a delta of -0.33

If we define two options as follows:

Option A with a delta of 0.12

Option B with a delta of -0.08

What is the delta of the following position:

-10 Option A

+8 Option B

A trader wishing to stay delta neutral will aim to keep their delta as close to zero as possible. One way they can do this is to trade a futures contract in addition to their options.
If the relevant bitcoin futures contract is currently trading at a price of $10,000, and a trader purchases a single bitcoin call option with a delta of 0.42, what position do they need to take in the futures contract to completely hedge their delta and be delta neutral?