What is the delta of a short position in 1,000 European call options on silver futures? The options mature in eight months, and the futures contract underlying the option matures in nine months. The current nine-month futures price is $8 per ounce, the exercise price of the options is $8, the risk-free interest rate is 12% per annum, and the volatility of silver is 18% per annum.

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    $\begingroup$ I am voting to close this. The question is to basic for this forum. Any good book (such as Hull) will give you the answer. $\endgroup$
    – phdstudent
    Dec 2, 2015 at 15:32


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