How Does a High-Interest Rate Environment Influence the Delta of Deep ITM Call Options? ▴ Learn

How Does a High-Interest Rate Environment Influence the Delta of Deep ITM Call Options?

A high-interest rate environment slightly increases the Delta of deep ITM call options. This is because higher interest rates increase the carrying cost of the underlying asset, making the call option relatively more valuable compared to holding the asset.

The Black-Scholes model reflects this by slightly pushing the Delta closer to 1.0. The effect is marginal but present in theoretical pricing.

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