Comment on Greek Interactions

RS6006 commented on 07 May 2016, 01:29 PM

Hi Karthik,

In the above graph (delta vs implied volatility) why is that ITM of put option has delta > -1 when volatility is 40% (blue line) ?? When the volatility is more, premium increases for put option acc to . Then why is it that here, the delta is > -1. According to above graph (put vs vega) the delta with volatility should be better than without volatility. Correct me if I am wrong. Eagerly waiting for your response.

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