Comment on Greek Interactions

Karthik Rangappa commented on 09 May 2016, 03:33 PM

1) Rate of change of Delta
2) Yes,but do note that the gamma peaks at ATM…which also explains why Delta is upper and lower bound
3) Think about it non mathematical terms – when Volatility increases the chance of stock moving haywire is greater…hence deep ITM options also get reactive…this is exactly why delta is not strictly 1 when volatility increases
4) Yes

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