question": "How does the delta of an option behave when implied volatility is high?", "options": ["The delta of out-of-the-money options goes to zero", "The delta becomes less sensitive to changes in the underlying price", "A larger range of options around ATM are sensitive to spot price changes", "The delta of in-the-money options decreases significantly"], "answer": "A larger range of options around ATM are sensitive to spot price changes", "explanation": "When \textbf{implied volatility} is high, the market anticipates larger price swings in the underlying asset. This affects option \textbf{delta}, a measure of an option's price sensitivity to changes in the underlying asset's price. Here's why the correct answer is 'A larger range of options around ATM are sensitive to spot price changes':\n\n* \textbf{Higher Volatility, Flatter Curve:** Increased implied volatility flattens the option price curve around the \textbf{at-the-money (ATM)} strike price. This flattening means a wider range of options, both slightly in-the-money and out-of-the-money, have deltas closer to 0.5, indicating greater sensitivity to changes in the underlying asset's price.\n* \textbf{Increased Uncertainty:** High implied volatility reflects market uncertainty. As uncertainty rises, the potential for price swings in either direction increases, making a broader range of options sensitive to those potential price movements.\n\n\textbf{Key SEO Keywords:** implied volatility, delta, options, at-the-money (ATM), option pricing, options trading, volatility, spot price, sensitivity