Comment on Greek Interactions

madhu nair commented on 22 Sep 2015, 05:39 AM

hi karthik, following is the calculation of Infosys CE1160 september 2015. : life of option – 2 days (calculated today)
interest rate @ 7 %
security price @ 1128
strike @ 1160
volatility @35.95
option price @2.413 ( as per calculator)
[email protected] 0.1548
gamma @0.0079
theta @ -1.7231
vega @ 0.2002

with this information, if underlying moves by x, we know the movement of premium thanks to delta and gamma. what else can we infer? apart from the fact that the option will lose value due to theta and the impact of volatility on the premium due to vega. do comment. thanks.

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