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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