The percentage increase in an option's value, given a 1 percentage point change in the value of the underlying security.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
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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