Put delta when the matching call has delta 0.21

Question

A European call and a European put on the same stock share strike and expiry. The call's delta is $0.21$ . What is the put's delta?

$-0.79$ . Differentiating put–call parity $C-P=S-Ke^{-rT}$ with respect to $S$ gives $\Delta_C-\Delta_P=1$ , so $\Delta_P=0.21-1=-0.79$ .

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).

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.