I have been researching options and I have noticed that call options move differently when the underlying goes asset up vs. down. Mostly negatively for the investor.
For example, I have narrowed my research to one type of example. Call options dated two weeks out. Now when the underlying asset (in this case SPY since it is the most liquid) moves by 30 basis points, the call option is up ~9%. However, when SPY falls 30 basis points, the option falls by ~13%. This effect stays the same across the board for in / out of money options and even different expiry periods.
Call options gain less on upswing and lose more on the downswing even though the upswing and downswing is the exact same in basis point move of the underlying asset.
Can someone explain why this happens?