Best Option Analyzer/Software

Quote from IV_Trader:

Risk , why do you need a dramatic vols incrise to get option gains > than a 1$ with 1$ gain in spot ?
Any ATM ( delta>.5) and Vega of 0.30 will gain more than a 1$ with 200bp gains under the above conditions , no ?
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200basis gain in what, implied vols? A vega of .30?! Where are you finding .30 vega on atm options other than index markets? A $50spot/50call w/60d to expiration carries a vega of .08 at 30vol. Using $50spot and 50strike calls with 60d to expiration at 30% vol, I get a $prem increase of $.66 at a flat dvega/dvol and no discrete gamma calc.
 
Quote from IV_Trader:

yes , then call (put) gains .50+.30*2 = > 1$
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OK, then I don't dispute the above, but I don't find a lot of .30 vega in stock options. You need to trade spot at 200-strike to get to .30 vega.
 
Quote from riskarb:

OK, then I don't dispute the above, but I don't find a lot of .30 vega in stock options. You need to trade spot at 200-strike at street vols of 18% to reach .30 vega.
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True , only few and the infamous ISRG ( 100d+) is one of them , lol
 
Quote from IV_Trader:

True , only few and the infamous ISRG ( 100d+) is one of them , lol
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Not to nitpick, but I just ran ISRG on my handheld for 60d at 60vol at 125 strike, and it spits-out a .20vega fig. So you're talking a $.90 gain! Almost there... =)
 
Quote from riskarb:

Not to nitpick, but I just ran ISRG on my handheld for 60d at 60vol at 125 strike, and it spits-out a .20vega fig. So you're talking a $.90 gain! Almost there... =)
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Nice try , B. I said a 100d+ , and not the 60d. I learned from the best , remember ?
 
Quote from WmWaster:

I'm not sure if it's my misunderstanding or just our wording is different.

Like delta is the measurement of the sensitiveness between underlying and option premium.
A delta of +0.7 means that for every $1 the underlying increases the call option will increase by $0.70.
So an increase in delta does affect the option premium.

One greek has indirect relationships with option premium, ie Gamma.

But you may say, since they are mesurements only, they are NOT the real factors behind which affect the option premium.

That's my understanding.

Anyway, to keep the discussion short, simply tell me a short answer - right or wrong.
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Yes, your wording was incorrect. Greeks express the sensitivity, but do not affect prices.
 
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