Delta of Put from Call

Quantitative Finance Level 1

If the delta of the call on the 30 strike expiring in June is 0.35, what is the delta of the put on the 30 strike expiring in June?

0.35 -0.65 0.65 -0.35

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Calvin Lin by Calvin Lin

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1 solution

Caleb Townsend
Mar 4, 2015

Due to put-call parity, Δ P = Δ C − 1 \Delta_P = \Delta_C - 1 Substitute Δ C = 0.35 \Delta_C = 0.35 to get Δ P = − 0.65 \Delta_P = \boxed{-0.65}

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