Underlying = 100 K = 90

1 year Put at K is trading 5. What's the approximate delta of the put?


1 Answer 1


assuming you don't have a black scholes pricer, or don't want to rely on a pricer... the following book contains many of the "rule of thumbs" that you are seeking:


  • $\begingroup$ That would be a good addition to the linked question. $\endgroup$
    – Bob Jansen
    Apr 22, 2017 at 15:35

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