If the delta of the option =0.5, shouldn't and increase of 10% in share price cause an increase of 5% in the corresponding option, so that the new option price is £2 x 1.05 = £2.10?
Delta Hi Jensen, Delta will tell you how many pence the option price will change for every pence movement in the underlying asset. (or change pence for euros, Vietnamese dong, whatever) This will usually reasult in a much higher percentage movement in the option price than the underlying price - the geared nature of options. Good luck! John
