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Computing delta of an ATM call using N(d1)

David Harper CFA FRM

David Harper CFA FRM
Staff member
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#2
Hi @hateeque It's generally okay conditional on a short-term option. I am practicing my rstats today, so I generated this plot that shows the delta for an at-the-money call option, but the term only goes up to 12 weeks. After three months, delta tends to round nearer to 0.6. Thanks

 
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