Possible error in Natenberg's "Option Volatility and Pricing" (2nd ed., p. 138, Figure 9-3)
Hi everyone,
Not sure if this has already been noticed, but I think there's a labeling error in Sheldon Natenberg's Option Volatility and Pricing (2nd edition) on page 138, Figure 9-3.
The figure is titled "Put delta values as volatility changes," and the surrounding text discusses put deltas exclusively (tending toward 0 and −100 as volatility falls, and toward −50 as it rises). But two of the three curves in the figure are labeled "In-the-money call" and "At-the-money call" instead of "put."
For comparison, Figures 9-1 and 9-2 (pages 136–137) correctly deal with calls and are labeled accordingly, and Figure 9-4 (put deltas as time passes) correctly uses "put" labels. So it looks like Figure 9-3 was probably copied from the call version (Figure 9-1), just mirrored across the x-axis to the 0 to −100 range, and the "call" labels were never updated to "put."
To be clear, the curves themselves are correct — the magnitudes behave identically to calls, just with a negative sign — so it's purely a labeling slip, not a conceptual error.
Just wanted to flag it in case others are working through the book and get confused.
Has anyone else caught thisPossible error in Natenberg's "Option Volatility and Pricing" (2nd ed., p. 138, Figure 9-3)?
Thanks!