Computing delta of an ATM call using N(d1)

[hateeque]

Would it be ok to assume a delta of 0.5 for an ATM call instead of applying the BSM N(d1) calc on the exam?

 

[David Harper CFA FRM]

Hi @hateeque It's generally okay conditional on a short-term option. I am practicing my rstats today, so I generated this plot that shows the delta for an at-the-money call option, but the term only goes up to 12 weeks. After three months, delta tends to round nearer to 0.6. Thanks