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Underlying = 100 K = 90

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

winter
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1 Answers1

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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:

https://www.amazon.de/Calculate-Options-Prices-Their-Greeks-ebook/dp/B00WBJN75I/ref=sr_1_2?ie=UTF8&qid=1492818200&sr=8-2&keywords=ursone

mbison
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