Team Members:
This research project examines the sensitivity of options prices to changes in the underlying stock price through Delta and Gamma analysis for Apple stock. The team collected data from Bloomberg terminal, focusing on daily price changes for an Apple option with a December 20, 2024 maturity date and $237.50 strike price. Using data from November 2024, they analyzed how Delta (measuring first-order price sensitivity) and Gamma (measuring second-order sensitivity) affect option prices when Apple's stock price changes, with specific calculations showing a Delta of $42.07 and Gamma of 3.5156 for a $1 stock price increase.