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Check both states before using a linear form
With strike 50 below lower terminal 80, both call payoffs are S−50. They are 80 and 30. The two-state support lies entirely in the call’s positive region.
Solve the difference ratio
Δ=(80−30)/(130−80)=1. Terminal cash is −50. Current cash is −50/1.05=−47.619048, so current claim value is 100−47.619048=52.380952.
Reconcile both states
| State | Underlying leg | Terminal cash | Claim |
|---|---|---|---|
| Higher | 130 | −50 | 80 |
| Lower | 80 | −50 | 30 |
Keep the support assumption visible
Delta one here comes from the two supplied terminal prices both exceeding strike. It is not a statement that every strike-50 option at every date has that hedge ratio. A model with below-strike states changes the payoff difference.