Derivatives greek options
•
0 likes•37 views
This document discusses various Greek options and provides examples of how they work. It defines Delta as measuring how an option's price changes with the underlying security's price. Gamma represents the rate of change of Delta and indicates how Delta will change with price movements. Vega measures an option's sensitivity to changes in volatility, with higher Vega indicating greater sensitivity. Theta represents the daily time decay of an option's value as expiration approaches. Examples are given to illustrate how Delta, Gamma, Vega, and Theta are calculated and used in practice.
Report
Share
Report
Share
Download to read offline
Recommended
Gamma Trade Options With John Netto (Interactive Brokers)
John Netto provided an introduction to options trading, covering basic concepts and strategies. He discussed the components of options like calls, puts, strike prices and expiration months. He also explained the Greeks - Delta, Gamma, Theta and Vega - which are used to understand an option's risk profile. Finally, he previewed various options strategies like spreads, straddles and calendars and reviewed current market prices and views.
Volatility Arbitrage with Options
The document discusses options trading strategies and concepts. It defines call and put options, describes different option types like at-the-money, in-the-money and out-of-the-money. It then explains basic option strategies like long call, short call, long put and short put. More complex strategies like long strangle, short strangle, long straddle and short straddle are presented along with their construction. Greek letters like theta, delta and vega are introduced and their impact and role in options trading is explained.
Chap 15
The document discusses various hedging strategies that a bank can use to lock in profits from selling a European call option, including delta hedging. Delta hedging involves maintaining a delta neutral portfolio by rebalancing the hedge position as the delta changes. Other Greek letters discussed are gamma, which measures how delta changes with the stock price, and vega, which measures how the option value changes with volatility. The document also discusses hedging with futures contracts and portfolio insurance strategies.
Options Greeks: The Delta
The option's delta is the rate of change of the price of the option with respect to its underlying price. For more information visit this PPT or you can go through our website https://steadyoptions.com
Option greeks
This document discusses option Greeks, which are measures of how the price of an option changes in response to changes in other variables such as the price of the underlying asset, volatility, and time to expiration. It defines the key Greeks - delta, gamma, theta, and vega - and provides formulas for calculating each one. It also discusses how understanding Greeks allows options traders to hedge positions against risks and maintain delta neutrality.
Option_Greeks
The document provides an introduction to option Greeks, which are sensitivities of an option's price to different variables. It defines several Greeks including:
- Delta - Sensitivity to changes in the underlying asset price
- Gamma - Sensitivity of delta to changes in the underlying price
- Theta - Sensitivity to the passage of time until expiration
- Vega - Sensitivity to changes in volatility
- Rho - Sensitivity to changes in interest rates
It provides examples of how to calculate these Greeks and explains their characteristics, such as gamma being highest for at-the-money options and theta increasing as expiration approaches. The document is an educational guide for traders to understand the risks associated with different option positions based on movements in the variables that
11. option pricing
The document discusses option pricing models including the binomial model and Black-Scholes model. The binomial model assumes the price of an asset can rise or fall in discrete time periods and that there is no arbitrage opportunity. The Black-Scholes model provides a way to price European style options and assumes the underlying asset follows geometric Brownian motion. It provides a closed-form solution using the cumulative distribution function and parameters like stock price, exercise price, risk-free rate, and volatility. Variants of the model have been developed to price options on dividend-paying stocks and American style options.
Black scholes model
Black-Scholes Model
Introduction
Key terms
Black Scholes Formula
Black Scholes Calculators
Wiener Process
Stock Pricing Model
Ito’s Lemma
Derivation of Black-Sholes Equation
Solution of Black-Scholes Equation
Maple solution of Black Scholes Equation
Figures
Option Pricing with Transaction costs and Stochastic Volatility
Introduction
Key terms
Stochastic Volatility Model
Quanto Option Pricing Model
Key Terms
Pricing Quantos in Excel
Black-Scholes Equation of Quanto options
Solution of Quanto options Black-Scholes Equation
Recommended
Gamma Trade Options With John Netto (Interactive Brokers)
John Netto provided an introduction to options trading, covering basic concepts and strategies. He discussed the components of options like calls, puts, strike prices and expiration months. He also explained the Greeks - Delta, Gamma, Theta and Vega - which are used to understand an option's risk profile. Finally, he previewed various options strategies like spreads, straddles and calendars and reviewed current market prices and views.
Volatility Arbitrage with Options
The document discusses options trading strategies and concepts. It defines call and put options, describes different option types like at-the-money, in-the-money and out-of-the-money. It then explains basic option strategies like long call, short call, long put and short put. More complex strategies like long strangle, short strangle, long straddle and short straddle are presented along with their construction. Greek letters like theta, delta and vega are introduced and their impact and role in options trading is explained.
Chap 15
The document discusses various hedging strategies that a bank can use to lock in profits from selling a European call option, including delta hedging. Delta hedging involves maintaining a delta neutral portfolio by rebalancing the hedge position as the delta changes. Other Greek letters discussed are gamma, which measures how delta changes with the stock price, and vega, which measures how the option value changes with volatility. The document also discusses hedging with futures contracts and portfolio insurance strategies.
Options Greeks: The Delta
The option's delta is the rate of change of the price of the option with respect to its underlying price. For more information visit this PPT or you can go through our website https://steadyoptions.com
Option greeks
This document discusses option Greeks, which are measures of how the price of an option changes in response to changes in other variables such as the price of the underlying asset, volatility, and time to expiration. It defines the key Greeks - delta, gamma, theta, and vega - and provides formulas for calculating each one. It also discusses how understanding Greeks allows options traders to hedge positions against risks and maintain delta neutrality.
Option_Greeks
The document provides an introduction to option Greeks, which are sensitivities of an option's price to different variables. It defines several Greeks including:
- Delta - Sensitivity to changes in the underlying asset price
- Gamma - Sensitivity of delta to changes in the underlying price
- Theta - Sensitivity to the passage of time until expiration
- Vega - Sensitivity to changes in volatility
- Rho - Sensitivity to changes in interest rates
It provides examples of how to calculate these Greeks and explains their characteristics, such as gamma being highest for at-the-money options and theta increasing as expiration approaches. The document is an educational guide for traders to understand the risks associated with different option positions based on movements in the variables that
11. option pricing
The document discusses option pricing models including the binomial model and Black-Scholes model. The binomial model assumes the price of an asset can rise or fall in discrete time periods and that there is no arbitrage opportunity. The Black-Scholes model provides a way to price European style options and assumes the underlying asset follows geometric Brownian motion. It provides a closed-form solution using the cumulative distribution function and parameters like stock price, exercise price, risk-free rate, and volatility. Variants of the model have been developed to price options on dividend-paying stocks and American style options.
Black scholes model
Black-Scholes Model
Introduction
Key terms
Black Scholes Formula
Black Scholes Calculators
Wiener Process
Stock Pricing Model
Ito’s Lemma
Derivation of Black-Sholes Equation
Solution of Black-Scholes Equation
Maple solution of Black Scholes Equation
Figures
Option Pricing with Transaction costs and Stochastic Volatility
Introduction
Key terms
Stochastic Volatility Model
Quanto Option Pricing Model
Key Terms
Pricing Quantos in Excel
Black-Scholes Equation of Quanto options
Solution of Quanto options Black-Scholes Equation
Qualitative analysis
The six primary factors that influence option prices are: (1) the underlying asset price, (2) volatility, (3) time until expiration, (4) strike price, (5) interest rates, and (6) dividends. Option prices increase when the underlying asset price increases, volatility increases, time until expiration increases, or the option becomes further in-the-money. Option prices decrease when the underlying asset price decreases, volatility decreases, time until expiration decreases, or the option becomes further out-of-the-money. Interest rates and dividends also impact option prices, but to a lesser extent.
Option pricing
Option pricing is determined by 5 key factors: the asset's cash price, strike price, volatility, time to expiration, and interest rates. The Black-Scholes model uses these factors to price European options, assuming the asset pays no dividends, markets are efficient, and other restricting assumptions. It models the asset's price as following geometric Brownian motion to derive a theoretical option price formula involving the standard normal distribution.
Chap 13
The document summarizes the Black-Scholes-Merton model for pricing options. It describes the key assumptions of the model including that stock prices follow a lognormal distribution and volatility is constant. It then outlines the derivation of the Black-Scholes partial differential equation and how it can be solved to price options using no-arbitrage principles. Risk-neutral valuation is introduced as an application of this framework to allow pricing based on the current stock price and risk-free rate rather than expected returns.
F B E559f3 B S Formula
The document summarizes the Black-Scholes formula for pricing European call options. It describes the assumptions made, such as stock prices following geometric Brownian motion and constant interest rates. It then shows how applying Ito's lemma and constructing a riskless portfolio leads to a partial differential equation. The Black-Scholes formula is obtained by solving this equation, with the option price a function of the stock price, strike price, time to maturity, interest rate and volatility. Extensions to puts, implied volatility and American options are also briefly discussed.
option greeks
The document discusses the determinants of option price and the Greeks - Delta, Gamma, Vega, Theta, and Rho. It explains that these Greeks measure how sensitive an option's price is to changes in the underlying asset's price, volatility, time to expiration, and interest rates. Specifically, Delta measures change in option price for a $1 change in the underlying, Gamma measures rate of change of Delta, Vega measures change for a 1% volatility change, Theta measures daily time decay, and Rho measures change for a 1% interest rate change. Understanding how the Greeks change is important for risk management and making informed options trading decisions.
Unit principles of option pricing call
The document discusses key concepts related to options pricing including: the minimum and maximum value of a call option; factors that affect call prices such as exercise price, time to maturity, interest rates, and stock volatility; the difference between American and European style options; and the potential early exercise of American call options on dividend and non-dividend paying stocks.
Greeks
The document discusses using "The Greeks" to understand how options are affected by changes in underlying asset prices, implied volatility, and time. It defines the key Greeks - delta, gamma, theta, and vega - and explains how they measure an option's sensitivity to these factors. Delta measures sensitivity to asset price changes, gamma measures rate of delta change, theta measures time decay, and vega measures sensitivity to volatility changes. Understanding the Greeks helps options traders quantify and manage the risks of their positions.
Options Calculator
The document provides an overview of options, including calls and puts, strike prices, volatility, and Greeks. It defines an option as a contract that gives the buyer the right to buy or sell an asset by a certain date. Calls provide the right to buy and benefit from rising prices, while puts provide the right to sell and benefit from falling prices. The strike price is the price at which the underlying can be bought or sold. Options are in-the-money, out-of-the-money, or at-the-money depending on the relationship between the strike price and current underlying price. Volatility and Greeks like delta, gamma, theta, and vega are important factors in option pricing and the document provides definitions
OptionGreeks-SR.pdf
cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc
OPtion Greek - vega
Advance Option Trading Strategy Mentorship Program - For More Details Visit - https://www.ptaindia.com/advance-option-trading-strategies-mentorship-program/
Or Call +91 9261211003
An Introduction to Derivatives
Derivatives are financial instruments whose value is dependent on an underlying asset such as a commodity, currency, stock, bond, or market index. Common derivative products include forwards, futures, options, and swaps. Forwards involve a customized over-the-counter agreement to buy or sell an asset in the future at an agreed upon price, while futures trade on an exchange with standardized contracts. Options provide the right but not the obligation to buy or sell the underlying asset at a predetermined strike price by a specified date. The value of derivatives is influenced by factors like the price and volatility of the underlying asset.
Bearish Straddle Strategy A Guide for Option Traders.pptx
Option trading is a popular way of speculating on the movements of the stock market. Options are contracts that give the buyer the right, but not the obligation, to buy or sell an underlying asset at a specified price and time. Options can be used for various purposes, such as hedging, income generation, or speculation.
One of the most common option strategies is the straddle, which involves buying or selling both a call and a put option of the same strike price and expiry. A straddle can be either long or short, depending on whether the trader buys or sells the options.
Options Greeks An Essential Advanced Tool for F&O Traders.pptx
Options trading can be tricky if you do not have the right tools and analytics available. Foremost among these are options Greeks like delta, theta and gamma. Discover how Samco's trading app brings these metrics to your fingertips.
Strategic Fx Risk Management
The document discusses strategic foreign exchange risk management. It defines strategic FX risk as transactional and profit/loss translation exposures with time horizons up to 10 years. Due to elasticities, options are best suited to hedge strategic risk. The behavior of strategic exposures can vary based on volumes and pricing. Hedging techniques should match the risk characteristics of the exposure using options' Greeks (delta, gamma, vega, theta) which measure sensitivity to spot rates, volatility, and time decay. Delta can hedge current exposure, gamma hedges elasticities, and vega hedges volatility risk.
Derivatives: Options and it's Greeks
Options are a type of derivative security. They are a derivative because the price of an option is intrinsically linked to the price of something else. Specifically, options are contracts that grant the right, but not the obligation to buy or sell an underlying asset at a set price on or before a certain date. The right to buy is called a call option and the right to sell is a put option. People somewhat familiar with derivatives may not see an obvious difference between this definition and what a future or forward contract does. The answer is that futures or forwards confer both the right and obligation to buy or sell at some point in the future. For example, somebody short a futures contract for cattle is obliged to deliver physical cows to a buyer unless they close out their positions before expiration. An options contract does not carry the same obligation, which is precisely why it is called an “option.”
Uncertain volatillity Models
The document discusses static hedging of binary options using a portfolio of vanilla options. Specifically, it examines hedging a binary call option with a strike of 100 using a short call with a strike of 90 and a long call with a strike of 110. The analysis considers uncertain volatility, inhomogeneous maturity between the options, and incorporating bid-ask spreads to maximize the value of the binary option for both long and short positions. Finite difference methods are used to numerically evaluate the option prices under different volatility assumptions and jump conditions.
Derivatives
The document defines derivatives and describes the key characteristics of different types of derivatives like forwards, futures, options, and swaps. It also discusses derivatives markets, types of traders, option strategies like covered calls and bull put spreads, and volatility strategies like straddles and strangles. The key details covered include how derivatives derive their value from underlying assets, the difference between exchange-traded and over-the-counter derivatives, Greeks like delta and gamma, and using different option positions for income generation or playing volatility.
Derivates ppt
Delta measures the ratio of change in an option's price to the change in the underlying asset's price. It indicates how much an option's value changes when the underlying stock price changes by $1. Delta ranges from 0 to 1 for calls and -1 to 0 for puts. Theta measures the rate of decline in an option's value as time passes until expiration. It is usually negative for long options and positive for short options, representing the daily time decay. The Greeks help option traders understand how different factors affect an option's price.
TechnoXander Confirmation of Payee Product Pack 1.pdf
Confirmation of Payee (CoP) is a vital security measure adopted by financial institutions and payment service providers. Its core purpose is to confirm that the recipient’s name matches the information provided by the sender during a banking transaction, ensuring that funds are transferred to the correct payment account.
Confirmation of Payee was built to tackle the increasing numbers of APP Fraud and in the landscape of UK banking, the spectre of APP fraud looms large. In 2022, over £1.2 billion was stolen by fraudsters through authorised and unauthorised fraud, equivalent to more than £2,300 every minute. This statistic emphasises the urgent need for robust security measures like CoP. While over £1.2 billion was stolen through fraud in 2022, there was an eight per cent reduction compared to 2021 which highlights the positive outcomes obtained from the implementation of Confirmation of Payee. The number of fraud cases across the UK also decreased by four per cent to nearly three million cases during the same period; latest statistics from UK Finance.
In essence, Confirmation of Payee plays a pivotal role in digital banking, guaranteeing the flawless execution of banking transactions. It stands as a guardian against fraud and misallocation, demonstrating the commitment of financial institutions to safeguard their clients’ assets. The next time you engage in a banking transaction, remember the invaluable role of CoP in ensuring the security of your financial interests.
For more details, you can visit https://technoxander.com.
How to Identify the Best Crypto to Buy Now in 2024.pdf
To identify the best crypto to buy in 2024, analyze market trends, assess the project's fundamentals, review the development team and community, monitor adoption rates, and evaluate risk tolerance. Stay updated with news, regulatory changes, and expert opinions to make informed decisions.
The Rise and Fall of Ponzi Schemes in America.pptx
Ponzi schemes, a notorious form of financial fraud, have plagued America’s investment landscape for decades. Named after Charles Ponzi, who orchestrated one of the most infamous schemes in the early 20th century, these fraudulent operations promise high returns with little or no risk, only to collapse and leave investors with significant losses. This article explores the nature of Ponzi schemes, notable cases in American history, their impact on victims, and measures to prevent falling prey to such scams.
Understanding Ponzi Schemes
A Ponzi scheme is an investment scam where returns are paid to earlier investors using the capital from newer investors, rather than from legitimate profit earned. The scheme relies on a constant influx of new investments to continue paying the promised returns. Eventually, when the flow of new money slows down or stops, the scheme collapses, leaving the majority of investors with substantial financial losses.
Historical Context: Charles Ponzi and His Legacy
Charles Ponzi is the namesake of this deceptive practice. In the 1920s, Ponzi promised investors in Boston a 50% return within 45 days or 100% return in 90 days through arbitrage of international reply coupons. Initially, he paid returns as promised, not from profits, but from the investments of new participants. When his scheme unraveled, it resulted in losses exceeding $20 million (equivalent to about $270 million today).
Notable American Ponzi Schemes
1. Bernie Madoff: Perhaps the most notorious Ponzi scheme in recent history, Bernie Madoff’s fraud involved $65 billion. Madoff, a well-respected figure in the financial industry, promised steady, high returns through a secretive investment strategy. His scheme lasted for decades before collapsing in 2008, devastating thousands of investors, including individuals, charities, and institutional clients.
2. Allen Stanford: Through his company, Stanford Financial Group, Allen Stanford orchestrated a $7 billion Ponzi scheme, luring investors with fraudulent certificates of deposit issued by his offshore bank. Stanford promised high returns and lavish lifestyle benefits to his investors, which ultimately led to a 110-year prison sentence for the financier in 2012.
3. Tom Petters: In a scheme that lasted more than a decade, Tom Petters ran a $3.65 billion Ponzi scheme, using his company, Petters Group Worldwide. He claimed to buy and sell consumer electronics, but in reality, he used new investments to pay off old debts and fund his extravagant lifestyle. Petters was convicted in 2009 and sentenced to 50 years in prison.
4. Eric Dalius and Saivian: Eric Dalius, a prominent figure behind Saivian, a cashback program promising high returns, is under scrutiny for allegedly orchestrating a Ponzi scheme. Saivian enticed investors with promises of up to 20% cash back on everyday purchases. However, investigations suggest that the returns were paid using new investments rather than legitimate profits. The collapse of Saivian l
Governor Olli Rehn: Inflation down and recovery supported by interest rate cu...
Governor Olli Rehn
Bank of Finland
Press conference on the outlook for the Finnish economy
Helsinki, 11 June 2024
More Related Content
What's hot
Qualitative analysis
The six primary factors that influence option prices are: (1) the underlying asset price, (2) volatility, (3) time until expiration, (4) strike price, (5) interest rates, and (6) dividends. Option prices increase when the underlying asset price increases, volatility increases, time until expiration increases, or the option becomes further in-the-money. Option prices decrease when the underlying asset price decreases, volatility decreases, time until expiration decreases, or the option becomes further out-of-the-money. Interest rates and dividends also impact option prices, but to a lesser extent.
Option pricing
Option pricing is determined by 5 key factors: the asset's cash price, strike price, volatility, time to expiration, and interest rates. The Black-Scholes model uses these factors to price European options, assuming the asset pays no dividends, markets are efficient, and other restricting assumptions. It models the asset's price as following geometric Brownian motion to derive a theoretical option price formula involving the standard normal distribution.
Chap 13
The document summarizes the Black-Scholes-Merton model for pricing options. It describes the key assumptions of the model including that stock prices follow a lognormal distribution and volatility is constant. It then outlines the derivation of the Black-Scholes partial differential equation and how it can be solved to price options using no-arbitrage principles. Risk-neutral valuation is introduced as an application of this framework to allow pricing based on the current stock price and risk-free rate rather than expected returns.
F B E559f3 B S Formula
The document summarizes the Black-Scholes formula for pricing European call options. It describes the assumptions made, such as stock prices following geometric Brownian motion and constant interest rates. It then shows how applying Ito's lemma and constructing a riskless portfolio leads to a partial differential equation. The Black-Scholes formula is obtained by solving this equation, with the option price a function of the stock price, strike price, time to maturity, interest rate and volatility. Extensions to puts, implied volatility and American options are also briefly discussed.
option greeks
The document discusses the determinants of option price and the Greeks - Delta, Gamma, Vega, Theta, and Rho. It explains that these Greeks measure how sensitive an option's price is to changes in the underlying asset's price, volatility, time to expiration, and interest rates. Specifically, Delta measures change in option price for a $1 change in the underlying, Gamma measures rate of change of Delta, Vega measures change for a 1% volatility change, Theta measures daily time decay, and Rho measures change for a 1% interest rate change. Understanding how the Greeks change is important for risk management and making informed options trading decisions.
Unit principles of option pricing call
The document discusses key concepts related to options pricing including: the minimum and maximum value of a call option; factors that affect call prices such as exercise price, time to maturity, interest rates, and stock volatility; the difference between American and European style options; and the potential early exercise of American call options on dividend and non-dividend paying stocks.
What's hot (6)
Similar to Derivatives greek options
Greeks
The document discusses using "The Greeks" to understand how options are affected by changes in underlying asset prices, implied volatility, and time. It defines the key Greeks - delta, gamma, theta, and vega - and explains how they measure an option's sensitivity to these factors. Delta measures sensitivity to asset price changes, gamma measures rate of delta change, theta measures time decay, and vega measures sensitivity to volatility changes. Understanding the Greeks helps options traders quantify and manage the risks of their positions.
Options Calculator
The document provides an overview of options, including calls and puts, strike prices, volatility, and Greeks. It defines an option as a contract that gives the buyer the right to buy or sell an asset by a certain date. Calls provide the right to buy and benefit from rising prices, while puts provide the right to sell and benefit from falling prices. The strike price is the price at which the underlying can be bought or sold. Options are in-the-money, out-of-the-money, or at-the-money depending on the relationship between the strike price and current underlying price. Volatility and Greeks like delta, gamma, theta, and vega are important factors in option pricing and the document provides definitions
OptionGreeks-SR.pdf
cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc
OPtion Greek - vega
Advance Option Trading Strategy Mentorship Program - For More Details Visit - https://www.ptaindia.com/advance-option-trading-strategies-mentorship-program/
Or Call +91 9261211003
An Introduction to Derivatives
Derivatives are financial instruments whose value is dependent on an underlying asset such as a commodity, currency, stock, bond, or market index. Common derivative products include forwards, futures, options, and swaps. Forwards involve a customized over-the-counter agreement to buy or sell an asset in the future at an agreed upon price, while futures trade on an exchange with standardized contracts. Options provide the right but not the obligation to buy or sell the underlying asset at a predetermined strike price by a specified date. The value of derivatives is influenced by factors like the price and volatility of the underlying asset.
Bearish Straddle Strategy A Guide for Option Traders.pptx
Option trading is a popular way of speculating on the movements of the stock market. Options are contracts that give the buyer the right, but not the obligation, to buy or sell an underlying asset at a specified price and time. Options can be used for various purposes, such as hedging, income generation, or speculation.
One of the most common option strategies is the straddle, which involves buying or selling both a call and a put option of the same strike price and expiry. A straddle can be either long or short, depending on whether the trader buys or sells the options.
Options Greeks An Essential Advanced Tool for F&O Traders.pptx
Options trading can be tricky if you do not have the right tools and analytics available. Foremost among these are options Greeks like delta, theta and gamma. Discover how Samco's trading app brings these metrics to your fingertips.
Strategic Fx Risk Management
The document discusses strategic foreign exchange risk management. It defines strategic FX risk as transactional and profit/loss translation exposures with time horizons up to 10 years. Due to elasticities, options are best suited to hedge strategic risk. The behavior of strategic exposures can vary based on volumes and pricing. Hedging techniques should match the risk characteristics of the exposure using options' Greeks (delta, gamma, vega, theta) which measure sensitivity to spot rates, volatility, and time decay. Delta can hedge current exposure, gamma hedges elasticities, and vega hedges volatility risk.
Derivatives: Options and it's Greeks
Options are a type of derivative security. They are a derivative because the price of an option is intrinsically linked to the price of something else. Specifically, options are contracts that grant the right, but not the obligation to buy or sell an underlying asset at a set price on or before a certain date. The right to buy is called a call option and the right to sell is a put option. People somewhat familiar with derivatives may not see an obvious difference between this definition and what a future or forward contract does. The answer is that futures or forwards confer both the right and obligation to buy or sell at some point in the future. For example, somebody short a futures contract for cattle is obliged to deliver physical cows to a buyer unless they close out their positions before expiration. An options contract does not carry the same obligation, which is precisely why it is called an “option.”
Uncertain volatillity Models
The document discusses static hedging of binary options using a portfolio of vanilla options. Specifically, it examines hedging a binary call option with a strike of 100 using a short call with a strike of 90 and a long call with a strike of 110. The analysis considers uncertain volatility, inhomogeneous maturity between the options, and incorporating bid-ask spreads to maximize the value of the binary option for both long and short positions. Finite difference methods are used to numerically evaluate the option prices under different volatility assumptions and jump conditions.
Derivatives
The document defines derivatives and describes the key characteristics of different types of derivatives like forwards, futures, options, and swaps. It also discusses derivatives markets, types of traders, option strategies like covered calls and bull put spreads, and volatility strategies like straddles and strangles. The key details covered include how derivatives derive their value from underlying assets, the difference between exchange-traded and over-the-counter derivatives, Greeks like delta and gamma, and using different option positions for income generation or playing volatility.
Derivates ppt
Delta measures the ratio of change in an option's price to the change in the underlying asset's price. It indicates how much an option's value changes when the underlying stock price changes by $1. Delta ranges from 0 to 1 for calls and -1 to 0 for puts. Theta measures the rate of decline in an option's value as time passes until expiration. It is usually negative for long options and positive for short options, representing the daily time decay. The Greeks help option traders understand how different factors affect an option's price.
Similar to Derivatives greek options (12)
Bearish Straddle Strategy A Guide for Option Traders.pptx
Bearish Straddle Strategy A Guide for Option Traders.pptx
Options Greeks An Essential Advanced Tool for F&O Traders.pptx
Options Greeks An Essential Advanced Tool for F&O Traders.pptx
Recently uploaded
TechnoXander Confirmation of Payee Product Pack 1.pdf
Confirmation of Payee (CoP) is a vital security measure adopted by financial institutions and payment service providers. Its core purpose is to confirm that the recipient’s name matches the information provided by the sender during a banking transaction, ensuring that funds are transferred to the correct payment account.
Confirmation of Payee was built to tackle the increasing numbers of APP Fraud and in the landscape of UK banking, the spectre of APP fraud looms large. In 2022, over £1.2 billion was stolen by fraudsters through authorised and unauthorised fraud, equivalent to more than £2,300 every minute. This statistic emphasises the urgent need for robust security measures like CoP. While over £1.2 billion was stolen through fraud in 2022, there was an eight per cent reduction compared to 2021 which highlights the positive outcomes obtained from the implementation of Confirmation of Payee. The number of fraud cases across the UK also decreased by four per cent to nearly three million cases during the same period; latest statistics from UK Finance.
In essence, Confirmation of Payee plays a pivotal role in digital banking, guaranteeing the flawless execution of banking transactions. It stands as a guardian against fraud and misallocation, demonstrating the commitment of financial institutions to safeguard their clients’ assets. The next time you engage in a banking transaction, remember the invaluable role of CoP in ensuring the security of your financial interests.
For more details, you can visit https://technoxander.com.
How to Identify the Best Crypto to Buy Now in 2024.pdf
To identify the best crypto to buy in 2024, analyze market trends, assess the project's fundamentals, review the development team and community, monitor adoption rates, and evaluate risk tolerance. Stay updated with news, regulatory changes, and expert opinions to make informed decisions.
The Rise and Fall of Ponzi Schemes in America.pptx
Ponzi schemes, a notorious form of financial fraud, have plagued America’s investment landscape for decades. Named after Charles Ponzi, who orchestrated one of the most infamous schemes in the early 20th century, these fraudulent operations promise high returns with little or no risk, only to collapse and leave investors with significant losses. This article explores the nature of Ponzi schemes, notable cases in American history, their impact on victims, and measures to prevent falling prey to such scams.
Understanding Ponzi Schemes
A Ponzi scheme is an investment scam where returns are paid to earlier investors using the capital from newer investors, rather than from legitimate profit earned. The scheme relies on a constant influx of new investments to continue paying the promised returns. Eventually, when the flow of new money slows down or stops, the scheme collapses, leaving the majority of investors with substantial financial losses.
Historical Context: Charles Ponzi and His Legacy
Charles Ponzi is the namesake of this deceptive practice. In the 1920s, Ponzi promised investors in Boston a 50% return within 45 days or 100% return in 90 days through arbitrage of international reply coupons. Initially, he paid returns as promised, not from profits, but from the investments of new participants. When his scheme unraveled, it resulted in losses exceeding $20 million (equivalent to about $270 million today).
Notable American Ponzi Schemes
1. Bernie Madoff: Perhaps the most notorious Ponzi scheme in recent history, Bernie Madoff’s fraud involved $65 billion. Madoff, a well-respected figure in the financial industry, promised steady, high returns through a secretive investment strategy. His scheme lasted for decades before collapsing in 2008, devastating thousands of investors, including individuals, charities, and institutional clients.
2. Allen Stanford: Through his company, Stanford Financial Group, Allen Stanford orchestrated a $7 billion Ponzi scheme, luring investors with fraudulent certificates of deposit issued by his offshore bank. Stanford promised high returns and lavish lifestyle benefits to his investors, which ultimately led to a 110-year prison sentence for the financier in 2012.
3. Tom Petters: In a scheme that lasted more than a decade, Tom Petters ran a $3.65 billion Ponzi scheme, using his company, Petters Group Worldwide. He claimed to buy and sell consumer electronics, but in reality, he used new investments to pay off old debts and fund his extravagant lifestyle. Petters was convicted in 2009 and sentenced to 50 years in prison.
4. Eric Dalius and Saivian: Eric Dalius, a prominent figure behind Saivian, a cashback program promising high returns, is under scrutiny for allegedly orchestrating a Ponzi scheme. Saivian enticed investors with promises of up to 20% cash back on everyday purchases. However, investigations suggest that the returns were paid using new investments rather than legitimate profits. The collapse of Saivian l
Governor Olli Rehn: Inflation down and recovery supported by interest rate cu...
Governor Olli Rehn
Bank of Finland
Press conference on the outlook for the Finnish economy
Helsinki, 11 June 2024
一比一原版美国新罕布什尔大学(unh)毕业证学历认证真实可查
永久可查学历认证【微信：A575476】【美国新罕布什尔大学(unh)毕业证成绩单Offer】【微信：A575476】（留信学历认证永久存档查询）采用学校原版纸张、特殊工艺完全按照原版一比一制作（包括：隐形水印，阴影底纹，钢印LOGO烫金烫银，LOGO烫金烫银复合重叠，文字图案浮雕，激光镭射，紫外荧光，温感，复印防伪）行业标杆！精益求精，诚心合作，真诚制作！多年品质 ,按需精细制作，24小时接单,全套进口原装设备，十五年致力于帮助留学生解决难题，业务范围有加拿大、英国、澳洲、韩国、美国、新加坡，新西兰等学历材料，包您满意。
【业务选择办理准则】
一、工作未确定，回国需先给父母、亲戚朋友看下文凭的情况，办理一份就读学校的毕业证【微信：A575476】文凭即可
二、回国进私企、外企、自己做生意的情况，这些单位是不查询毕业证真伪的，而且国内没有渠道去查询国外文凭的真假，也不需要提供真实教育部认证。鉴于此，办理一份毕业证【微信：A575476】即可
三、进国企，银行，事业单位，考公务员等等，这些单位是必需要提供真实教育部认证的，办理教育部认证所需资料众多且烦琐，所有材料您都必须提供原件，我们凭借丰富的经验，快捷的绿色通道帮您快速整合材料，让您少走弯路。
留信网认证的作用:
1:该专业认证可证明留学生真实身份
2:同时对留学生所学专业登记给予评定
3:国家专业人才认证中心颁发入库证书
4:这个认证书并且可以归档倒地方
5:凡事获得留信网入网的信息将会逐步更新到个人身份内，将在公安局网内查询个人身份证信息后，同步读取人才网入库信息
6:个人职称评审加20分
7:个人信誉贷款加10分
8:在国家人才网主办的国家网络招聘大会中纳入资料，供国家高端企业选择人才
→ 【关于价格问题（保证一手价格）
我们所定的价格是非常合理的，而且我们现在做得单子大多数都是代理和回头客户介绍的所以一般现在有新的单子 我给客户的都是第一手的代理价格，因为我想坦诚对待大家 不想跟大家在价格方面浪费时间
对于老客户或者被老客户介绍过来的朋友，我们都会适当给一些优惠。
选择实体注册公司办理，更放心，更安全！我们的承诺：可来公司面谈，可签订合同，会陪同客户一起到教育部认证窗口递交认证材料，客户在教育部官方认证查询网站查询到认证通过结果后付款，不成功不收费！
Ending stagnation: How to boost prosperity across Scotland
A toxic combination of 15 years of low growth, and four decades of high inequality, has left Britain poorer and falling behind its peers. Productivity growth is weak and public investment is low, while wages today are no higher than they were before the financial crisis. Britain needs a new economic strategy to lift itself out of stagnation.
Scotland is in many ways a microcosm of this challenge. It has become a hub for creative industries, is home to several world-class universities and a thriving community of businesses – strengths that need to be harness and leveraged. But it also has high levels of deprivation, with homelessness reaching a record high and nearly half a million people living in very deep poverty last year. Scotland won’t be truly thriving unless it finds ways to ensure that all its inhabitants benefit from growth and investment. This is the central challenge facing policy makers both in Holyrood and Westminster.
What should a new national economic strategy for Scotland include? What would the pursuit of stronger economic growth mean for local, national and UK-wide policy makers? How will economic change affect the jobs we do, the places we live and the businesses we work for? And what are the prospects for cities like Glasgow, and nations like Scotland, in rising to these challenges?
快速办理(RWTH毕业证书)德国亚琛工业大学毕业证录取通知书一模一样
原件一模一样【微信：bwp0011】《(RWTH毕业证书)德国亚琛工业大学毕业证》【微信：bwp0011】学位证，留信认证（真实可查，永久存档）原件一模一样纸张工艺/offer、雅思、外壳等材料/诚信可靠,可直接看成品样本，帮您解决无法毕业带来的各种难题！外壳，原版制作，诚信可靠，可直接看成品样本。行业标杆！精益求精，诚心合作，真诚制作！多年品质 ,按需精细制作，24小时接单,全套进口原装设备。十五年致力于帮助留学生解决难题，包您满意。
本公司拥有海外各大学样板无数，能完美还原。
1:1完美还原海外各大学毕业材料上的工艺：水印，阴影底纹，钢印LOGO烫金烫银，LOGO烫金烫银复合重叠。文字图案浮雕、激光镭射、紫外荧光、温感、复印防伪等防伪工艺。材料咨询办理、认证咨询办理请加学历顾问微bwp0011
【主营项目】
一.毕业证【微bwp0011】成绩单、使馆认证、教育部认证、雅思托福成绩单、学生卡等！
二.真实使馆公证(即留学回国人员证明,不成功不收费)
三.真实教育部学历学位认证（教育部存档！教育部留服网站永久可查）
四.办理各国各大学文凭(一对一专业服务,可全程监控跟踪进度)
如果您处于以下几种情况：
◇在校期间，因各种原因未能顺利毕业……拿不到官方毕业证【微bwp0011】
◇面对父母的压力，希望尽快拿到；
◇不清楚认证流程以及材料该如何准备；
◇回国时间很长，忘记办理；
◇回国马上就要找工作，办给用人单位看；
◇企事业单位必须要求办理的
◇需要报考公务员、购买免税车、落转户口
◇申请留学生创业基金
留信网认证的作用:
1:该专业认证可证明留学生真实身份
2:同时对留学生所学专业登记给予评定
3:国家专业人才认证中心颁发入库证书
4:这个认证书并且可以归档倒地方
5:凡事获得留信网入网的信息将会逐步更新到个人身份内，将在公安局网内查询个人身份证信息后，同步读取人才网入库信息
6:个人职称评审加20分
7:个人信誉贷款加10分
8:在国家人才网主办的国家网络招聘大会中纳入资料，供国家高端企业选择人才
University of North Carolina at Charlotte degree offer diploma Transcript
办理美国UNCC毕业证书制作北卡大学夏洛特分校假文凭定制Q微168899991做UNCC留信网教留服认证海牙认证改UNCC成绩单GPA做UNCC假学位证假文凭高仿毕业证GRE代考如何申请北卡罗莱纳大学夏洛特分校University of North Carolina at Charlotte degree offer diploma Transcript
欧洲杯足彩-欧洲杯足彩押注-欧洲杯足彩押注官网|【网址🎉ac99.net🎉】
【网址🎉ac99.net🎉】欧洲杯足彩是一家创立于1998年的在线的体育博彩公司。欧洲杯足彩由库拉索岛政府授权，可以从事体育博彩相关活动。成立初期，欧洲杯足彩专注于快速发展的国内市场，现在它为全世界的玩家和职业玩家提供投注服务。毫无疑问，欧洲杯足彩是欧洲乃至全球最受欢迎的知名在线体育博彩公司。玩家的积极反馈、存款和提款的安全性都充分证明了该公司的可靠性。欧洲杯足彩 Sports公司 以其良好的服务而得到了客户的认可。该公司在2004年获得了最高水平服务奖、2006年最佳博彩公司奖（EOG.com）、最佳博彩运营商前5名（The Online Wire）和著名门户网站“Gambling”颁发的最佳优惠和奖金奖项，这是对这家博彩公司的最为中肯的评价。
Economic trends from a business point of view (May 2024)
Economic trends from a business point of view (May 2024)Інститут економічних досліджень та політичних консультацій
“Amidst Tempered Optimism” Main economic trends in May 2024 based on the results of the New Monthly Enterprises Survey, #NRES
On 12 June 2024 the Institute for Economic Research and Policy Consulting (IER) held an online event “Economic Trends from a Business Perspective (May 2024)”.
During the event, the results of the 25-th monthly survey of business executives “Ukrainian Business during the war”, which was conducted in May 2024, were presented.
The field stage of the 25-th wave lasted from May 20 to May 31, 2024. In May, 532 companies were surveyed.
The enterprise managers compared the work results in May 2024 with April, assessed the indicators at the time of the survey (May 2024), and gave forecasts for the next two, three, or six months, depending on the question. In certain issues (where indicated), the work results were compared with the pre-war period (before February 24, 2022).
✅ More survey results in the presentation.
✅ Video presentation: https://youtu.be/4ZvsSKd1MzE
PM pre reads for the product manager framework
For kingfisher airlines, interpret this with product management frameworks and answer the below questions
Accounting Information Systems (AIS).pptx
An accounting information system (AIS) refers to tools and systems designed for the collection and display of accounting information so accountants and executives can make informed decisions.
真实可查(nwu毕业证书)美国西北大学毕业证学位证书范本原版一模一样
原版定制【微信:bwp0011】《(nwu毕业证书)美国西北大学毕业证学位证书》【微信:bwp0011】成绩单 、雅思、外壳、留信学历认证永久存档查询，采用学校原版纸张、特殊工艺完全按照原版一比一制作（包括：隐形水印，阴影底纹，钢印LOGO烫金烫银，LOGO烫金烫银复合重叠，文字图案浮雕，激光镭射，紫外荧光，温感，复印防伪）行业标杆！精益求精，诚心合作，真诚制作！多年品质 ,按需精细制作，24小时接单,全套进口原装设备，十五年致力于帮助留学生解决难题，业务范围有加拿大、英国、澳洲、韩国、美国、新加坡，新西兰等学历材料，包您满意。
【业务选择办理准则】
一、工作未确定，回国需先给父母、亲戚朋友看下文凭的情况，办理一份就读学校的毕业证【微信bwp0011】文凭即可
二、回国进私企、外企、自己做生意的情况，这些单位是不查询毕业证真伪的，而且国内没有渠道去查询国外文凭的真假，也不需要提供真实教育部认证。鉴于此，办理一份毕业证【微信bwp0011】即可
三、进国企，银行，事业单位，考公务员等等，这些单位是必需要提供真实教育部认证的，办理教育部认证所需资料众多且烦琐，所有材料您都必须提供原件，我们凭借丰富的经验，快捷的绿色通道帮您快速整合材料，让您少走弯路。
留信网认证的作用:
1:该专业认证可证明留学生真实身份
2:同时对留学生所学专业登记给予评定
3:国家专业人才认证中心颁发入库证书
4:这个认证书并且可以归档倒地方
5:凡事获得留信网入网的信息将会逐步更新到个人身份内，将在公安局网内查询个人身份证信息后，同步读取人才网入库信息
6:个人职称评审加20分
7:个人信誉贷款加10分
8:在国家人才网主办的国家网络招聘大会中纳入资料，供国家高端企业选择人才
【关于价格问题（保证一手价格）】
我们所定的价格是非常合理的，而且我们现在做得单子大多数都是代理和回头客户介绍的所以一般现在有新的单子 我给客户的都是第一手的代理价格，因为我想坦诚对待大家 不想跟大家在价格方面浪费时间
对于老客户或者被老客户介绍过来的朋友，我们都会适当给一些优惠。
Recently uploaded (20)
TechnoXander Confirmation of Payee Product Pack 1.pdf
TechnoXander Confirmation of Payee Product Pack 1.pdf
How to Identify the Best Crypto to Buy Now in 2024.pdf
How to Identify the Best Crypto to Buy Now in 2024.pdf
The Rise and Fall of Ponzi Schemes in America.pptx
The Rise and Fall of Ponzi Schemes in America.pptx
Governor Olli Rehn: Inflation down and recovery supported by interest rate cu...
Governor Olli Rehn: Inflation down and recovery supported by interest rate cu...
Ending stagnation: How to boost prosperity across Scotland
Ending stagnation: How to boost prosperity across Scotland
The various stages, after the initial invitation has been made to the public ...
The various stages, after the initial invitation has been made to the public ...
University of North Carolina at Charlotte degree offer diploma Transcript
University of North Carolina at Charlotte degree offer diploma Transcript
Economic trends from a business point of view (May 2024)
Economic trends from a business point of view (May 2024)
Importance of community participation in development projects.pdf
Importance of community participation in development projects.pdf
Derivatives greek options
- 2. Outline of Discussion Introduction Delta Theta Gamma Vega Live Examples Conclusion INDEX
- 3. GREEK OPTIONS What can option Greeks do for you? Armed with Greeks, an options trader can make more informed decisions about which options to trade and when to trade them. Consider some of the things Greeks may help you do: Delta Theta Vega Gamma What are Greeks anyway? Greeks, including Delta, Gamma, Theta, Vega and Rho, measure the different factors that affect the price of an option contract INTRODUCTION
- 4. What is Delta? How is Greek delta calculated? 1. ∂ – the first derivative 2. V – the option's price (theoretical value) 3. S – The underlying asset's price Is high delta is good? What is Delta used for? DELTA
- 5. Delta: The hedge ratio The first Greek is Delta, which measures how much an option's price is expected to change per $1 change in the price of the underlying security or index. Call options Put options DELTA
- 6. GAMMA Gamma: the rate of change of Delta Gamma (Γ) represents the rate of change between an option's delta and the underlying asset's price. This is called second-order (second- derivative) price sensitivity. Gamma indicates the amount the delta would change
- 7. DERIVATIVES CHARACTERISTIC OF GAMMA Positive Gamma Indicates more sensitive to further stock changes Negative Gamma Indicates stocks to be less sensitive Higher the Gamma Riskier is the option Less the gamma Lower is risk Gamma rise as an option moves closer to expiration γC−γP=0⇒γC=γP Position with positive gamma Position with negative gamma
- 8. Gamma Movements Highest at ATM Lowest at ATM
- 9. EXAMPLE You have an underlying future contract at 200 and the strike price is 200.The delta option delta is 50 and gamma 3.If the futures price moves to 201, the option delta changes to 53. If the delta price moves to 199 , delta changes to 47
- 10. Gamma Stratgies Gamma Neutral Trading Managing Volatility of a Position
- 11. VEGA SENSITIVITY TO VOLATILITY Vega measures how the implied volatility of a stock affects the price of the options on that stock. Volatility is one of the most important factors affecting the value of options. A drop in Vega will typically cause both calls and puts to lose value. An increase in Vega will typically cause both calls and puts to gain value.
- 12. EXAMPLE FORMULA (New Vol-Old Vol)*Vega=Change in Option Premium VEGA VALUE OF THE OPTION = 7.50 IMPLIED VOLATILITY: 20 VEGA = 0.12 IMPLIED VOLATILITY MOVES FROM 20 TO 21.5 SOLUTION 21.5-20=1.5 1.50*1.2=1.8 7.50+1.8=7.68
- 13. Characteristics of VEGA V e g a i s a f f e c t e d b y t w o f a c t o r s : m o n e y n e s s a n d t h e a m o u n t o f t i m e l e f t u n t i l t h e e x p i r a t i o n d a t e . V e g a i s a l s o c l o s e l y r e l a t e d t o g a m m a . P a s s a g e o f t i m e a n d i t s e f f e c t s o n t h e V e g a T h e m o r e t i m e r e m a i n i n g t o o p t i o n e x p i r a t i o n , t h e h i g h e r th e V e g a . T h i s m a k e s s e n s e a s t i m e v a l u e m a k e s u p a l a r g e r p r o p o r ti o n o f t h e p r e m i u m f o r l o n g e r t e r m o p t i o n s a n d i t i s t h e t i m e v a l u e th a t i s s e n s i t i v e t o c h a n g e s i n v o l a t i l i t y . DERIVATIVES
- 14. WHAT IS THETA? Denoted by Greek letters Time left before the expiration date. As the time passes THETA
- 15. THE DIFFERENCE BETWEEN THE INTRINSIC VALUE AND TIME VALUE. Together, the time and intrinsic value make up the premium or value of an option INTRINSIC VALUE Measures If the option were to expire today. TIME VALUE Part of the premium. Value Closer to expiration.
- 16. A theta is of the value we come up with based off how much time is left on an option. NEGATIVE THETA POSITIVE THETA THETA
- 17. HOW IS THETA CALCULATED? ∂ – the first derivative V – the option’s price (theoretical value) τ – the option’s time to maturity
- 18. LIVE EXAMPLE
- 19. RISK STRATEGY
- 20. CONCLUSION