Which one of the following four statements correctly defines an option’s delta?

Which one of the following four statements correctly defines an option’s delta?
A . Delta measures the expected decline in option with time and is usually expressed in years.
B . Delta measures the effect of 1 bp in interest rate change on the option price.
C . Delta is the multiplier that best approximates the short-term change in the value of an option.
D . Delta measures the impact of volatility on the price of an option.

View Answer

Answer: C