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?)

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    $\begingroup$ You'll have to make a few assumptions to price another option based on another one. $\endgroup$ – will Aug 19 '17 at 18:15
  • $\begingroup$ 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. $\endgroup$ – user59 Aug 19 '17 at 21:09
  • $\begingroup$ @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 $\endgroup$ – user997112 Aug 19 '17 at 21:20

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