Question

The change in option prices with respect to the change in the Forward(spot) price is called...

The change in option prices with respect to the change in the Forward(spot) price is called

A.

Gamma
B.

Theta
C.

Delta
D.

Vega
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Answer #1

Delta measures how the option prices changes with changes in the underlying asset. Call options have positive deltas and put option have negative deltas.

Gamma is a measure of rate of change of delta with changes in the underlying asset.

Theta measures how the option prices changes as expiration approaches. It measures the change in option price with respect to time to maturity.

Vega measures hoe the option prices changes with changes in volatility in the underlying asset.

Option C. Delta is correct.

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