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Is there a Greek that describes the sensitivity of an option's time value to the strike price? Or is option time value independent of strike?

It's obvious that strike doesn't change once an option is bought/sold, but it is useful to know the relationship between time pemium of options of different strikes when you make purchase/sale decision so you can pick the right one.

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The Greeks are used evaluate an option's sensitivity to change in price, time, volatility, interest rates (delta, theta, vega,rho).

Gamma measures the sensitivity of a delta to change in price.

The strike price is a fixed item in the contract. It does not vary so there is no Greek for it.

  • Baeker: It's obvious that strike doesn't change once an option is bought/sold, but it is useful to know the relationship between time pemium of option of different strikes when you make purchase/sale decision. – techie11 Oct 4 '18 at 18:50
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    teckie: If it's obvious that the strike price doesn't change once an option is bought/sold then it should be obvious that there will be no Greek as such. You could generate a hypothetical price distribution curve across strikes using the same IV for all options for an underlying but that would not be accurate since since IV is not constant across all strikes (volatility smile?). If you want to see the relationship of premium across strikes, use an option pricing model. Or if you really want simple, drop the option chain into Excel and calculate intrinsic and extrinsic. – Bob Baerker Oct 4 '18 at 19:11
  • Bob Baeker: the simple method (use option chain) sounds good to me. But another question arises from your mention of volatility smille: Since in Black-Scholes model, the \sigma (standard deviation) is the underlying's rate of return which is same for options across strikes. does it mean standard deviation is the historical volatilty? all textbook says IV instead of historical volatility is the 6 input parameters of the BS equation. – techie11 Oct 4 '18 at 21:27
  • Here's an explanation of the difference between historic and implied volatility: investopedia.com/articles/investing-strategy/071616/… – Bob Baerker Oct 4 '18 at 22:40
  • Hi, I am the measures the sensitivity of a delta to change in price :). – user67084 May 13 at 22:43

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