What Is the Arbitrage Opportunity If a Call Option’s Delta Is Momentarily 1.1?

If a call option's Delta were momentarily 1.1, it would present a clear arbitrage opportunity because the option's price is moving more than the underlying asset, violating no-arbitrage bounds. The strategy would be to short the option and long the underlying asset, in a ratio of 1 option for 1.1 units of the underlying.

As the underlying price increases by $1, the option price increases by $1.1, netting a risk-free profit of $0.10. This mispricing would be quickly corrected by market forces.