Call Delta at-the-money?

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James Rhim

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CFAI Book R.28[Option Strategies] EOC Question 7-12 Exhibit 1 show a table regarding call/put options
and ask when the call option has the largest gamma trough Q.12.
I understand that current stock price is $67.79 and the call option with $67.50 exercise price has the largest gamma since it’s near at-the-money. (This’s what the question ask)
But what I don’t get is the meaning of ‘Call Delta’ on Exhibit 1.
As far as I know, when at-the-money call delta is 0.5 but Exhibit 1 shows 16.5 when $67.5.
Is there anybody who can explain why the call option near at-the-money has delta of 16.5, which is far from 50?
 
I am not that far yet in the course but I had a look to see if I could help and I was just wondering if it could have anything to do with the fact that these are European options and not American options. You can only exercise them at expiration date.
Does the course on options usually assumes American options or European options?
 
The books, when asessing delta, assumes Euro expiration. I dont have the book on me now but how can a delta exceed 1? Atm the delta should be 1, if its otm the delta should approach 1 if its near the strike price. Ill have a look later today
 
Respectfully, the at-the-money delta for a call is not 1.0.
It’s ½.
The range for delta of a call option is 0 < δ < 1. It’s near zero when the option is far out of the money, near 1 when the option is far in the money, and ½ when it is at the money.
Similarly, the delta for a put option is −½ when it is at the money.
 
Yes that’s what we know from the course but we are trying to understand this practice problem and the deltas mentioned are huge. Maybe the unit used is different….. ?
 
The numbers make no sense, but don’t appear to be used in any calculations.
I’d suggest writing CFA Institute and asking them.
 
sorry, I misread it. now saw your question on 16.5 # 50.
 
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