With everything being equal as time passes in options which

With everything being equal as time passes in options, which one of the following is true? M a. In the money options delta decrease and out of money options delta increase M b. In the money options delta increase and out of money options delta increase M c. Both in the money options delta decrease and out of money delta decrease M d. In the money delta increase and out of money options delta decrease

Solution

Delta is sensitive to both the changes in volatility and time to expiration. So as time passes both in the money options delta decrease and out of money delta decrease.