As I sit here waiting for the Fed, here are some numbers:
TYZ0 (10 US Treasury future)
TYX0C 125 (125 strike call option on said future)
9/20: TYZ0 = 124.40625, TYX0C = 0.81, IV = 7.357%
9/21: TYZ0 = 125.375, TYX0C = 1.19, IV = 6.794%
On 9/20:
Delta was worth about 0.42 options points per 1 pt change in spot
Gamma was worth about 0.07 options points per 1 pt change in spot
Vega was worth about 0.14 options points per 1% change in IV
Theta was worth about -0.02 options points per day
So, on 9/21, all the changes added up to about +0.39 options points, and the actual option changed by +0.38 points.
Given that the greeks tell you about sensitivity to an instantaneous change in variables (when in real life these changes were spread over an entire day), I would say B-S does a very good job.
Actually, just using delta got you really close. Not sure what the OP is going on about.
TYZ0 (10 US Treasury future)
TYX0C 125 (125 strike call option on said future)
9/20: TYZ0 = 124.40625, TYX0C = 0.81, IV = 7.357%
9/21: TYZ0 = 125.375, TYX0C = 1.19, IV = 6.794%
On 9/20:
Delta was worth about 0.42 options points per 1 pt change in spot
Gamma was worth about 0.07 options points per 1 pt change in spot
Vega was worth about 0.14 options points per 1% change in IV
Theta was worth about -0.02 options points per day
So, on 9/21, all the changes added up to about +0.39 options points, and the actual option changed by +0.38 points.
Given that the greeks tell you about sensitivity to an instantaneous change in variables (when in real life these changes were spread over an entire day), I would say B-S does a very good job.
Actually, just using delta got you really close. Not sure what the OP is going on about.