Hi,
I have a question about
greeks I'd like to ask here so that I don't have to start a new thread. Once I know the spot price, option price, style, riskfree rate, date at moment of writing and maturity date I can obtain IV and then, delta etc...by running the formula up-side-down, correct?
Now, suppose I want to calculate greeks (delta mostly) for long-term option, say DEC12, does it make sense to use the current spot price in the formula, or should I use the DEC12 futures settlement price?
I am concerned on this because the delta will indeed change If I either use spot price or the future price sharing the same maturity date