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The Color of Delta

From Theory To Practice

A couple weeks ago, we worked through Delta’s Speed. Today, we stay in that same genre, and we knock out a little analysis on Delta’s Color. While Speed is the third derivative of the Black-Scholes model, going price, price, price; Color is the third derivative of the Black-Scholes model, going price, price, time. And, we’ve given Frank the day off, so Pete, our research intern from New York who is also a math guy at heart, joins the set to help us understand what we’re up against.

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