Explain and compute option delta
Company: Bnp
Role: Data Scientist
Category: Software Engineering Fundamentals
Difficulty: easy
Interview Round: Technical Screen
In options trading, what is an option’s **delta**?
1) Give the definition of delta and explain its intuition/sign for calls vs puts.
2) Under the Black–Scholes model (European options), show how to compute delta for a call and a put.
3) Briefly explain how delta is used for hedging.
Quick Answer: Evaluates understanding of option delta, the differing intuitions/signs for calls versus puts, and the ability to compute deltas under the Black–Scholes model; commonly asked to assess quantitative reasoning about derivative sensitivities, model-based pricing, and hedging concepts.