Friday, April 29, 2011

DISNEY : A look on Delta vis a vis strike price

Date. Stk px. Option px. Delta. Gamma
------- --------- ------------- -------- ----------
28April2011. $42.80. $0.86. 0.47. 0.24
29April2011. $43.20. $1.09. 0.54. 0.25

1 Day. $0.40. $0.23
% 0.1%. 27%. 15%

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