NO.PZ2019070101000087
问题如下：
The call option of the stock is deep out of the money, and the put option of the same stock is deep in the money. If the stock price increase by $1, which of the following scenarios is most likely to happen?
选项：
Call value
Put value
Increase by $0.08
Decrease by $0.94
Increase by $0.69
Decrease by $0.73
Decrease by $0.08
Increase by $0.94
Decrease by $0.69
Increase by $0.73
解释：
A is correct
考点：Delta Hedge-Calculation
解析：这里题目主要考察call option/put option在不同期权价值下的delta的性质。
当call option在deep out of the money的时候，delta 趋近于0.
当put option在deep in the money 的时候，delta趋近于-1.
所以当股价增长1块钱的时候，call option的价格会上涨趋近于 0*$1, 而put option的价格会变动趋近于 -1*1（即下降1*$1), 从选项中来看，A选项最符合这种情况。
请问这题的解体思路是？
