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To: Stock Farmer who wrote (119058)	5/21/2002 9:31:29 AM
From: rkral	Respond to of 152472

OT .. These models all hinge on what is called "volatility" which is the standard deviation of how far the stock *moves in a period of time (year). If it moves $1 then the option gains value $1. If it moves $2 then the option gains value $2. Because the strike price is fixed. Your examples only true for DITM options. The delta for ATM options is about 0.5, i.e., if the stock moves $1, the option moves about 50 cents. Thanks for the Black-Scholes info, but I've been there. In fact, I mathematically proved the B-S eq'n starting with a log-normal probability density function of prices, and the profit/loss profile of a covered call. It's straight forward enough. The "magic" part comes when adjustments are made for dividends and interest rates .. which I note are not in the eq'n you provided. Ron