Comment on Greek Interactions

RS6006 commented on 08 May 2016, 12:44 PM

Hi Karthik,
Consider the article below They said
“As volatility rises, the time value of the option goes up and this causes the delta of out-of-the-money options to increase and the delta of in-the-money options to decrease.”
From the graph in the article, the delta of ITM comes down (from 1 to 0.95) with increase in volatility.
Doesnt delta and volatility linearly related ? From the graph, ITM options delta is not linearly related to volatility. pls clarify

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