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I've started thinking about this, too. My gedanken conclusion turned out to be too simple once I found what I was after: http://www.investment-and-finance.net/derivatives/o/option-beta.html, which I've confirmed in Black & Scholes (1973) p10 (eq 15). In short: $$ \beta_{\text{option}} = \frac{S\cdot\Delta}{O}{\beta_S} $$ where $S$ is the underlying ...



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