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Originally Posted by terminator
Thanks, saluki that's helpful as now I know a little more where to look.
But isn't the delta non-linear based on where the stock price is relative to the strike price? I.e. If I buy an option when the price is $50, the strike is $60, the duration is 1.5 years and the volatility is .2 and the assumed interest rate is 5%, then the calculators tell me delta is about .4. Then delta keeps going higher as you get in the money, right since it's more of a direct correlation then?
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yes, and that is why another one of your "greeks" is Gamma which represents the change in delta as you get a change in the underlying price.
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