price of an option with variation in the price of underlying as the main variant? Which brokers would have this?
I got all the greeks showing on my option trader already, What I want to know is, is there a method of finding out, preferably with a software (which does it all for you with an input and 'click'), the delta, bid and ask price, approx or exact, of the option if the underlying moves by x. eg msft is 29.38 just now, I am short 31calls July 21st and the delta is 0.25, the bid ask is (0.31 0.33) , is there a way of me knowing what the delta and bid ask will be if the underlying moved up to 31 for eg? hope I am making myself clear
Gamma is the rate of change of delta by moves in the underlying, right? I think you can do "What if" scenarios like you are looking for in TWS. I don't recall what they call it.
To figure out the change in delta per $1 move in underlying, look at the gamma. To figure out how much the bid-ask will move per $1 move in underlying, look at the delta.
Also, the delta will change with the implied volatility. So if you use standalone pricing software you will have to input that as well.