Does the Cost of Borrowing the Underlying Asset (Repo Rate) Impact the Delta of a Short Call Position?

Yes, the cost of borrowing the underlying asset, often represented by the repo rate or a continuous dividend yield, impacts the Delta of a short call position. A higher borrowing cost (higher yield) reduces the value of the call option.

This reduction in value translates to a slightly less negative Delta for the short call position, as the underlying asset is relatively less attractive to hold.