Question: An option strategy called call spread involves establishing the following two positions together: Long 1 share of call option. Short 1 share of call option

An option strategy called call spread involves establishing the following two positions together:

  • Long 1 share of call option.

  • Short 1 share of call option with the same maturity, but a higher strike price than the

    first call option.

    Which of the following statements regarding the Delta of this call spread strategy is cor- rect?

    (A) The Delta is between 0 and 1 and is larger if the current stock price is higher. 2

  • (B) The Delta is between -1 and 0 and first decreases and then increases with the current stock price.

  • (C) The Delta is between 0 and 1 and first increases and then decreases with the current stock price.

  • (D) The Delta is between -1 and 1 and is smaller if the current stock price is higher.

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