Observing Price Change Over Time

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In this example, you see how closely the actual price change of the option matched the modeled values at

  • different price points (Delta and Gamma),
  • changes in implied volatility (Vega), and
  • over time (Theta).

This specific example shows why optionality is attractive. The option buyer can experience a larger return on capital in the option but at the risk of losing their investment if the price of the underlying doesn’t move far enough and fast enough.