Can someone explain? If i have 100 long calls and 100 short calls with Delta 1 and Delta 0 then why is the overall delta 1? should it average to 0.5?
From the practice problems —- ”If the price of XXX= $91, then the long call (exercise price = $88) will be in the money and its delta would be close to 1.0. The short call (exercise price = $94) will be out of the money and (very close to expiration) its delta would be close to 0.0. The overall delta is then very close to 1.0.”
From the practice problems —- ”If the price of XXX= $91, then the long call (exercise price = $88) will be in the money and its delta would be close to 1.0. The short call (exercise price = $94) will be out of the money and (very close to expiration) its delta would be close to 0.0. The overall delta is then very close to 1.0.”