Elasticity of an Option

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Elasticity of an option

Percentage change in the value of an option given a 1% change in the value of the option's underlying stock. Related: delta.

The change in a price of an option given a 1% change in the price of the underlying asset. This price is likely to change more if the option is near-the-money than if it is deep-in-the-money or deep-out-of-the-money. See also: Volatility.

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