excellent! stupid question, If the price goes to 133. What is the new delta now? OR what would be the GAMMA after price rose to 132? I know the DELTA is calculated. Is the GAMMA also calculated independent of DELTA? Thanks
Yes, the call delta should approach 1 the further it gets into the money. So, you can see by the screenshot that as the strike price of the option gets lower, the delta gets higher and nearer to 1
If you'd like to learn more about Gamma, you can watch my in-depth video here: ua-cam.com/video/KhPLZHnWL68/v-deo.html
Good explanation
Thank you Steve!
Hi thx for your effort
can u do single index model in excel ?
excellent! stupid question, If the price goes to 133. What is the new delta now? OR what would be the GAMMA after price rose to 132? I know the DELTA is calculated. Is the GAMMA also calculated independent of DELTA? Thanks
Should not the call delta approach 100 the more it gets in the money? You screenshot suggests the opposite..?
Yes, the call delta should approach 1 the further it gets into the money. So, you can see by the screenshot that as the strike price of the option gets lower, the delta gets higher and nearer to 1