Delta of a put that is far in the money
Question
What is the delta of a put option that is very deep in the money?
Short answer
About . A deep in-the-money put is almost sure to be exercised, so it behaves like a short position in one share plus a fixed claim on the strike, and its value moves one-for-one opposite to the stock.
Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.
See the hint and the full worked solution in the question bank (free account).
Open the worked solutionLessons behind this question
- Greeks and Numerical Sensitivities
- Derivation — From Binomial Trees to Black-Scholes in the Continuous Limit
- The Black-Scholes Formula Derived via Change of Measure
Start with a free lesson: Options is part of a free topic. Create a free account, no card needed, to read it in full with worked solutions.
Read it free