As delta = Change in Option/ change in stocks, where is it that if stock price decreases, delta will decrease (p. 213 in Schweser Book 4) and vice versa where stock price increases?
Many thanks!作者: jmh530 时间: 2011-7-13 15:20
in general, the closer you get to the strike, the greater the delta..look at gamma too. these alwa come up. CFAI has good explanations.作者: mik82 时间: 2011-7-13 15:20
it makes sense really, if you hold an option, and it's way out of the money, a small change in stock price won't make any difference to the value of that option. i.e. delta~0
on the other hand, if stock price is currently close to strike, and it moves a little bit, the option may come into the money, then if it moves another $1 your option will be worth close to another $1! i.e. delta~1
For delta to go from 0 to 1 it has to move as the stock price moves, rate of this change of delta is gamma.
