Delta and Price Observation

Hi all
I have noticed this morning on LZ`Z8 ftse options that calls were bought with deltas of around 20-30, the index went up 30 points the deltas remained the same and yet the contracts value fell even though the index rose almost 1%, im sure there is a logical explanation for this?

Steve

And there was! logical but annoying
steve

volatility of the calls got hammered on the rally explains why the price remains the same- lower vol = lower option premium- same delta is because a rally will increase the delta bit lowering vol will decrease the delta- so the example you gave evidently resulted in no delta change- they offset each other.