Options question, page-21

By way of clarification, I said earlier:

... as soon as the price of the underlying, volatility of the underlying, the interest rate, or time changes, delta needs to be recalculated ...

How can the volatility of the underlying change if the price of the underlying remains the same? The volatility in this case is the great unknown ... the future volatility of the underlying. Because this is simply a guess, it can change for any number of reasons ... too much coffee, hot tip on HC ...

Si possis recte, si non, quocumque modo rem.

GK