Delta of an At-The-Money (ATM) Option
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1. Context
In this swatch, we use the results that we already know – results from Quantitative Analysis section and from readings on Black Scholes Model and it’s Greeks to reason out the delta for an at-the-money call and put option. While we do make the approximation that the magnitude of delta for these options is 0.5, we explore what makes this assumption accurate or inaccurate. The details of the reading in which this topic appears are given below:
| Area | Valuation and Risk Models |
| Reading | The Greek Letters |
| Reference | John C. Hull, Chapter 19. The Greek Letters In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017). |