Comment on Greek Interactions

RS6006 commented on 08 May 2016, 11:22 AM

Hi Karthik, kindly answer the following questions.
1) If the volatility increases, (i) delta increases (or) (ii) rate of change of delta ?
2) Isnt the rate of change of delta = gamma ?? Then, if the volatility increases gamma increases ?
3) The above graph (delta vs implied volatility) shows that, for a deep ITM call/put options with the increase in volatility, the delta plotted is 0.9/-0.9 (approx) i.e not 1/-1. How can delta at high volatilty (40%) be less than delta at low volatilty (20%) ??
4) vega talks about change in premium w.r.t change in volatility. Does vega (volatilty) effects delta as well a part from premium. Please clarify, vega vs delta;

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