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I think you will find that it depends on the option. As expiration
approaches, the delta of In the money options increases toward 1, while the
delta of out of the money options approaches 0. As you may know, delta is
the estimated changes in an option value resulting from a change in the
price of the underlying. An in the money option will actually exhibit
greater price increases per point of change in the underlying as expiration
approaches, assuming other factors such as volatility remain the same.
Good luck and good
trading,
Ray
Raffurty
----- Original Message -----
From: kohath <kohath@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxx>; Dick Webb <dickwebb711@xxxxxxxxx>
Sent: Wednesday, June 30, 1999 4:08 PM
Subject: Re: Ira's method..do the math
> As you know, a 10
> point move on the OEX at the beginning of the month does not move the
> options nearly as much as a 10 point move at the end of the month.
>
> Kohath
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