Abstract
Students often struggle with understanding option price movements involving the interaction of option “Greeks” and option values. This case study examines the option price movements driven by delta, time decay, and implied volatility following an Apple earnings announcement. The exercise involves students strategically selecting options across multiple strategies and reveals the impact of changes in implied volatility which leads to counterintuitive option price reactions. The goal of the exercise is to bring awareness to the intricacies of option pricing in an empirical setting. We find that comprehension and retention increase significantly when a case study is performed using actual data.
Recommended Citation
(2026)
"Understanding the Option Greeks and Option Strategies: An Example using Apple Earnings,"
Journal of Economics and Finance Education: Vol. 24:
Iss.
1, Article 6.
Available at:
https://scholarship.rollins.edu/jefe/vol24/iss1/6
