Quantitative Finance

# Option Greeks: Level 2-3 Challenges

What can we say about the vega of an ATM option?

As volatility increases, what happens to the price of an option?

Which of the following is not a good approximation for delta of a call option?

When the stock is trading at $115, the put option on the$113 strike with 30 days to expiry is worth $1.34. It has a delta of -0.3357 and a gamma of 0.062. How much would the put option be worth if the underlying increases to$117?

If the delta of the call on the 30 strike expiring in June is 0.35, what is the delta of the put on the 30 strike expiring in June?

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