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Understanding Options 2E, 2nd Edition by Michael Sincere

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22

Delta and the Other Greeks

You should know that the Greeks are derived from complicated formulas using option pricing models such as Black-Scholes and Cox-Rubenstein. Fortunately, the information that is displayed on your computer is straightforward. As retail options investors, we will probably look at no more than two or three of the Greeks.

Note: You can find the Greeks on the option chain on your brokerage firm screen or find them on the OIC or CBOE website.

What Are the Greeks?

You already know that option prices are affected by many factors such as volatility, time to expiration, and their relationship to the underlying stock. Wouldn’t it be helpful if you could measure how the price of your option is expected to change as market conditions ...

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