Put call Value Change

Discussion in 'Options' started by clarodina, Dec 27, 2010.

  1. Why is that the change in put value is less than the change in call value? Using the closing price of put and call and with same initial delta, the call value increases more than put value given that the stk price rise. Comparatively, the value of put increase less that the value of call given that the stk price decreases. The comparision is using same stk.

    Are this due to the bullish biases for stk?
  2. Volatility Skew. Do a google.
  3. spindr0


    Interesting concept. The change in put value is less if the stock goes up or down.
  4. Wanted to mention that the comparison has taken account of increase implied volatility using optionxpress.

    How does volatility shew causing the call option value change more than put when stk price increase but put value change less than call value when stk price decrease?

    Given that the comparison is using same stk which there is increase in implied volatility which would increase the value of both call and put, than different is change should not due to change in implied volatility
  5. wanted to mention that the comparison is using same strike
  6. tomk96


    are you referring to put/call parity?

    where are you getting your values? closing marks? closing marks really wouldn't be that helpful.
  7. stoic


    Isn't implied volatility the answer and not the operand?
  8. clarodina, you're trying to demonstrate the effect in a very confusing manner...

    Can you just give all the specific details, i.e. strike K, current spot S, etc? Or are you simply saying that delta of an ATM put is not equal to the delta of an ATM call, both not equal to 1/2? If the latter, it's been discussed a countless number of times.