You would always have to re-calculate since IV and time to expiry changes. You could just look at the option chain and do a quick calculation in you head to figure out the % move required to double the option.

OK so I stink at figuring this stuff out. Can you help me figure one with the following example? Stock: AUY Current: 10.70 May 7.50 CALL Ask: 3.40 Spread: .30 Delta: .97 Intrinsic: 3.20 Time: .20 IV: 88.84

If all other factors being equal, if the stock was trading at roughly $11.65 your option would double in value. don't ask me how to calculate, i eyeballed from my profit & loss graph from the thinkorswim platform.

% to double is a bs figure invented by one of those news letterguys that has no relevance in that it does not take in to account any other factors that effect an options price. It's a useless number IMO but here it is (1/delta)/stock price (1/.97)/10.70=0.096348 or 9.63% target stock price (% to double + 1) X stock price (0.096348+1)*10.70=11.73093

It's a lot faster to use some software pricing model. That way you can adjust for iv and time decay also and play around with the different scenarios/greeks. Daddy's boy

I don't know the exact definition of % to double, cause I think it's useless, but how in the world would a $3.4 option with a delta of 0.97 double in value if the stock moves up by $1!? I.e. we have an option price $3.4 Delta 0.97 stock @ 10.70. 10.70 to 11.70 is $1*0.97=$0.97. $0.97+3.4=4.37. Doesn't look like a double to me.

Ahm. You have delta, you have gamma, you have original price. From Taylor expansion, you can describe the change in option value as Change = UndChange * Delta + .5 * Gamma * UndChange^2 So, solving a quadratic equation (3rd grade, i recon), we get Double Change = [ -Delta +/- Sqrt(Delta^2 - 2 * Gamma * CurrentOptPx) ] / Gamma