# Calculate latest underlying price (or option), given new option (or underlying) market price?

Given a reference underlying price, reference option price, delta and gamma, if I receive a new underlying/option price what equation should I use to calculate the respective option/underlying price (and new delta gamma?)?

(and a minor sub-question, does the Theo feature in this?)

• You'll have to make a few assumptions to price another option based on another one.
– will
Aug 19, 2017 at 18:15
• Given sufficient information about an option, you can compute the volatility. If you assume that remains constant, you can use Black-Scholes to estimate the new values for the new underlying/option. You might give a couple of specific examples to show what you're trying to do.
– user59
Aug 19, 2017 at 21:09
• @barrycarter if you're an options market-maker quoting options, when the underlying moves you need to update your quote. Therefore you will (assuming you haven't pre-cached calculations) use the new underlying price and calculate what the new market price should be. Likewise if there's a price update on the option, you might re-calculate what the underlying price needs to be, to profitably hedge that option. If you had an underlying-option price graph, given two coordinates of one point and one coordinate of a second point, you're trying to calculate the remaining 4th coordinate Aug 19, 2017 at 21:20