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I second that, Hoadley's package is well worth those $50 or so. By the way, Delta is the probability that the option will expire ITM, not that it will be ITM at any time prior to expiry.

252 is better, 'cause that is the actual number of observations that you get in a year. As for volatility you can use both to get a better estimate.

Harrold, You're correct in saying that the two are talking about different circumstances. That is, Kaeppel is, basically, saying that if you ignore IV analysis then you cannot trade options successfully, as volatility plays a major role in options. In fact, sometimes you can be 100%...

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