Behaviour of DELTA in relation to TIME REMAINING TO EXPIRATION – With Past DATA and CHARTS

The following is the behavior of Delta in relation to Time to Expiration:Assume all other factors unchanged:As the time to expiration is nearing, the Delta of ITM options increases (i.e. ITM option’s Delta gets closer to 1 for Calls or to -1 for Puts) and the Delta of OTM options decreases (i.e. OTM option’s Delta gets closer to 0).Now, let’s observe using the past real data.The following is the Options Chain for Call options of RIMM as at 3 Sep...

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Behaviour of OPTION GREEKS in relation to TIME REMAINING TO EXPIRATION and IMPLIED VOLATILITY (IV) – With Past DATA and CHARTS

The past articles in this blog have discussed many times about the effect of time remaining to expiration and IV on Options Greeks. In fact, not only this blog, many other websites have done the same too. Nevertheless, generally these topics are only discussed qualitatively, as it is quite tedious and time consuming to show these using real data. While there is an adage “A picture speaks a thousand words”, I am trying to show how Options Greeks behave in relation to the changes in time remaining to expiration or Implied Volatility (IV) by using...

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Historical Volatility – Part 7: Comparing HV

Go back to Part 6: Interpretation.One other way to use the HV data is by comparing the values among different stocks, as well as for a particular stock.Here are some of the possible ways and its purpose/use:1) Comparing the HVs among different stocks.Although the volatility always fluctuates, it tends to oscillate around some “normal” value over long period of time, which can be deemed as its “average” value. When the volatility is relatively high or low, it would then move back or reverse towards its average value.Therefore, we can use the average...

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