Where can I go to find out more about options and greeks, specifically how greeks effect each other? I am not looking for definitions, that I have, I am looking for explanations. (web site, book etc) anything free to cheap I have seen option prices move little, not at all or even down when stock price goes up. (I have no specific examples) Could following a stock too close (min by min) cause this strange occurrence? I was under the impression that options moved as fast as stock. Still I would like to know more about the greek relationship. . . If there is a formula like: delta = .5 at said time / vega I will understand that the easiest. Thanks!

the closest i know of what you are asking for is in "Option volatility and pricing" by Sheldon Natenberg

The interaction between the greeks is not that significant so as to make the call price remain constant as the underlying rises. The price/volatility are the main factors here. That is, if you see the underlying rising, but the call price staying flat it means that the Implied Volatility is contracting and the effect of positive delta/gamma is countered by the effect of negative vega.

That is exactly the kind of answer I was expecting. - Is there a chart or article about your statement that will go into more detail?

The relationship between price and IV isn't one that can be put into a formula i.e. there is no constant correlation. Indeed, the volatility of the correlation can be higher than volatility of the underlying itself! Firstly it is important to understand IV and where it comes from then you can start to understand how IV might change with price in an intuitive fashion. One of many simplistic contributing explanations is as follows: if price breaks through a perceived level of support, panic insurance may be sought and hence drive up the demand for options resulting in higher IV. Similarly, if price breaks through resistance, insurance might be dumped or thought to be redundant. For plots of IV vs. price, have a look at the usual suspects e.g. www.ivolatility.com Good luck. MoMoney.

Hi guys . . got a simple question about pricing an option . . . got a link for you, I'm trying to replicate BS in MatLab so here's the link: http://www.anthony-vba.kefra.com/vba/vba13.htm My question is specifically about the equation for sigma: What does it mean for growth rate of underlying asset? Am I taking the std dev of sample of the underlying's daily price change? Let me know if you can't get to the link. Anyway this is how I started out : C= value of the call opt P= value of the put opt S(t)= current value of the underlying asset (t=now, present time) X= exercise price of strike of opt R(f)= risk free rat of return T= Opt life as percentage of year sig = std dev of the growth rate on the underlying pie = pie value N(d)1 = the rate of change of the opt price with respect to the price of underlying N(d)2 = probability of the opt being "in the money"

After some further reading . . . essentially what I'm asking is how to find the underlying volatility, right?