Jack Van Joined 3/29/12 Messages 8 Points 11 8/14/12 #1 "If time value composes 10% or more of an option's value, the option's delta is 90 or less." Can anyone prove or disprove this statement? From empirical tests, it seems like this statement should hold true.
"If time value composes 10% or more of an option's value, the option's delta is 90 or less." Can anyone prove or disprove this statement? From empirical tests, it seems like this statement should hold true.