Derivatives
Option on Options
February 26, 2021
Derivatives
Option Sensitivities
February 26, 2021

The sensitivity of an option price to the change in its underlying asset price. Differently stated, it is the change in an option price given a 1% change in the price of its underlying asset. The extent of the option price change is likely much wider for near-in-the-money-options than for deep-in-the-money or deep-out-of-the-money options.

This elasticity is also known as delta of an option.

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