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SIE: Options
SIE practice questionmediumGreeks basics

Which Greek measures the rate of change in an option’s price for a $1 move in the underlying stock?

  1. ATheta
  2. BDelta✓ Correct answer
  3. CGamma
  4. DVega
Explanation

Why BDelta

Delta measures change in option premium for a $1 move in the underlying. Gamma measures the change in delta, theta time decay, and vega volatility.

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