This is the format we used in our Options for Beginners class at Investopedia Academy. OPtion Greek - vega. The truth of the matter is that intervention in the market, rather than the market economy itself, was the driving factor behind the bust. The fallout is that consequent to every infinitesimal change in S, the value of delta changes and needs to be recomputed. Moneyness The more the ITM an option gets, the higher its theoretical value.
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