I need to calculate the future value of an option compared to a percentage increase in the underlying security. Example: I own a call option on stock ABC that expires in Jan 2022. The price of the underlying security is $25/share. The price of the option is $6.5/contract. I need to calculate the price of the option if the stock gets to $30/share tomorrow. What's the calculation?
simplified, see if the following helps answer your question. plug the numbers, stock price today or when you bought/sold the call, days to expiry, volatility .... get option price change the current stock price to $30, look to see if the volatility changed below, use the one that fits http://www.option-price.com/ http://www.cboe.com/framed/IVolframed.aspx?content=https://cboe.ivolatility.com/calc/index.j?contract=52FC8632-30C2-4F56-85B1-545E740E5052§ionName=SEC_TRADING_TOOLS&title=CBOE - IVolatility Services
You are looking for the option delta. You can get this by using the calc at https://www.optionseducation.org/toolsoptionquotes/optionscalculator (just be aware the delta changes over time). There isn't a simple way of doing this unfortunately - if the option is deep in the money the delta will be 1 but out of the money deltas are difficult to quickly estimate
Yes, I was using Delta and gamma. I would see how much I wanted the underlying stock to increase. Call it $2/share. Then I would say okay, $1 increase with a Delta of .77 and then a gamma of .15. Then on the second dollar I would increase by .92. The issue is say if you wanted the underlying security to increase by $3. Recalculating future gamma and deltas is tricky. Just using the calculator on cboe allows me to say okay if the underlying security increases to this amount tomorrow, then I should place a limit order by this amount. That seems to work. I can even change the amount of days to see how long the limit order lasts.