Suppose there is a call option with a delta of 25% and the underlying stock increases in value by 100 fils. We notice that the premium for the first option (56 Fils) is less than the option expiry after 3 months (109 Fils). It reaches 50% when the price of the stock equals the strike price (at-the-money) and 100% for deep in-the-money options.
Except under extreme circumstances, the value of an option is least sensitive to changes in the risk-free-interest rates. The extrinsic value of an option is equal to its intrinsic value plus the time value of holding the option.
The premium for the option expiry after 3 months (109 Fils) is lesser than the option expiry after 6 months (163 Fils). This is logical as the longer the life of the premium, the more probability of profit-making and consequently the option buyer pays a higher amount for that option.
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