option greeks variation

S

saminny

Hi,
I am trying to get an understanding on how option greeks change over time. Which option greeks change with changes in price of the underlier and time? I know "Delta" changes with changes in price of the underlier. Does "vega" change with changing volatility levels?

If someone could explain how these greeks change and what factors influence the changes, that would be very helpful..

thanks,

Sam
 
Quote from saminny:

Which option greeks change with changes in price of the underlier and time? I know "Delta" changes with changes in price of the underlier. Does "vega" change with changing volatility levels?
More...
Multiple factors affect delta (time, price, volatility) . Vega is volatility. Best answer is 1st reply. Google these or get an option book.
 
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