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Roughly what is the delta of an at-the-money call option?

  1. A. About 0.0
  2. B. About 1.0
  3. C. About -0.5
  4. D. About 0.5Correct

Takeaway. Delta is both the hedge ratio and a rough read on the chance of finishing in the money, which is why an at the money option sits near one half.

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