Option Sensitivities

Have you wondered how the options "greeks" change with the other variables that affect option prices? For example, how does delta depend on volatility? How does the vega depend on the maturity?

This applet depicts the answer visually, and illustrates an essential feature of Option Tutor: the ability to "visualize" relationships. Option Tutor offers you much more than what is shown here. You can easily move between calculators and visual displays, you can calculate Value at Risk parameters for portfolio's of options and futures, and so on.

To use this applet:

  • Enter the basic parameters, such as the asset price, the volatility, and so on
  • Select what you want to plot, e.g. select "Delta" for the Y-axis and "Volatility" for the X-axis.
  • Select either a put option or a call option.
  • Click "Plot" to see the display.

Problem: Explain how the delta of a call option depends on the price of the underlying asset. How does this relationship depend on whether the option is in the money or out of the money?

To explore this question in an online tutorial click on Understanding Delta

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