What Is the Put-Call Parity Relationship in Terms of Delta? ▴ Learn

What Is the Put-Call Parity Relationship in Terms of Delta?

Put-Call Parity is a relationship between the prices of a European Call option, a European Put option, and the underlying asset, all with the same strike and expiration. In terms of Delta, the parity relationship implies that the Delta of a Call option minus the Delta of a Put option must equal one (Call Delta – Put Delta = 1).

This is a foundational no-arbitrage principle.

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