Fictional example · one standard contract
ABC $100 Call
Expires in 60 days · all values invented for teaching
- Bid
- $4.90
- Ask
- $5.10
- Mark / share
- $5.00
- IV
- 30%
- Shares
- 100
The Greeks · choose one
Delta: the stock moves
A right to buy at $100 becomes more valuable when the stock rises. Delta measures the option’s sensitivity to that move.
Assume the stock rises $1.00; time, IV, and rates stay fixed.
- Rule
- Option-price change≈ delta × stock-price change
- Using delta 0.50 and a +$1.00 stock move
- 0.50 × (+$1.00)= +$0.50 per share
- For 100 shares
- +$0.50 × 100 = +$50.00
- Contract-value change ≈
- +$50.00
- New price / share ≈
- $5.50
New price = $5.00 mark + $0.50. A delta-only estimate; gamma explains why delta changes too.
Small hypothetical moves, one input at a time. The Greeks also change in real markets.