In exhibit 1 (“Walnut Coropration”) the option chart shows the delta increasing. The current stock price is 67.79, I thought that the delta should be 0.5 when an option is at the money, however the delta for the $67.50 call option is 16.5. Why is this?
Delta cannot be 16.5. For a call option, 0 < delta < 1.
I’ve asked CFA Institute to look at that chart and fix it. I’m not sure they’ve done either. (They certainly haven’t done the latter.)