Effects of IMPLIED VOLATILITY (IV) on Option Greek VEGA – With Past DATA and CHARTS

The following is the behavior of Vega in relation to Implied Volatility (IV) changes: Vega is higher when volatility increases, particularly for ITM and OTM options. However, Vega is relatively stable / unchanged for ATM option. 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...

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Effects of IMPLIED VOLATILITY (IV) on Option Greek THETA – With Past DATA and CHARTS

The following is the behavior of Theta in relation to Implied Volatility (IV) changes: When Implied Volatility (IV) increases, Theta would be higher. When IV decreases, Theta will be lower, especially when it is approaching 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...

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Effects of IMPLIED VOLATILITY (IV) on Option Greek GAMMA – With Past DATA and CHARTS

Impact of Implied Volatility (IV) on Gamma When the Implied Volatility increases, the Gamma of ATM options decreases, whereas the Gamma for deep ITM or OTM options increases. When the Implied Volatility is very low, the Gamma of ATM options is relatively high, while the Gamma for deep ITM / OTM options is relatively low (close to 0). This is because when the volatility is low, the time value portion of an option is low. However, time value...

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