Behaviour of DELTA in relation to IMPLIED VOLATILITY (IV) – With Past DATA and CHARTS

Previously, we’ve covered about the behavior of Option Greeks in relation to time remaining to expiration. From this post onwards, we’ll start to move on to discuss the behavior of Option Greeks in relation to Implied Volatility (IV). The following is the behavior of Delta in relation to Implied Volatility (IV) changes: When Implied Volatility (IV) increases, Delta of OTM option will increase, whereas the Delta of ITM option will decrease. However,...

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

The following is the behavior of Vega in relation to Time to Expiration:Assuming all other things unchanged, Vega decreases as the option gets nearer to expiration.We’ll use the same past actual data as shown in the previous post on the behavior of Delta, namely:Options Chain for Call options of RIMM as at 3 Sep 2010, when the closing price is $44.78 and Implied Volatility (IV) is 54.05, for expiration month of Sep 2010 (10 days to expiration), October...

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