The Delta of an Option Measures,approximately

Multiple Choice

The delta of an option measures,approximately,

A) The dollar change in option value for a $1 change in the price of the underlying.
B) The percentage change in option value for a 1% change in the price of the underlying.
C) The risk-neutral probability that the option finishes in-the-money.
D) The reaction of the option to a sudden jump in the price of the underlying.