Greeks
About the Lecture
The lecture Greeks by Edu Pristine is from the course Archiv - Financial Markets and Products. It contains the following chapters:
- Agenda
- Naked and Covered Position
- Stoploss Strategy
- GREEK - Delta
- Properties of Option's delta
- Delta of a Portfolio
Author of lecture Greeks
Edu Pristine
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Excerpts from the accompanying material
... and Covered Position Stoploss Strategy GREEKS - Delta - Theta - Gamma - Vega ...
... If a trader sells a call contract and has equivalent long position in the underlying he has cover. - He will gain if the stock ...
... exceeds the strike price on the option and a naked call position whenever the stock price goes down from the exercise price. If a trader sells call contracts standalone, he has a naked position exposure. If this was possible in the real world, traders would be able to earn riskless profits as the cost of setting the hedge would always ...
... - This is an example of delta hedging. - Such a package of option and share is called a delta neutral portfolio.Delta hedging strategy is an improvement over the simple stop-loss strategy. However, the option’s delta changes with changes in ...
... reflecting an inverse relationship with the price of the underlying. - Deep in-the-money call options have a delta that approaches +1.00 as they are most likely to be exercised. Similarly, deep in-the-money put options would have a delta tending towards -1.00. - Deep out-of-the-money calls ...
... these derivatives are known. Example: Lets find the delta of the following portfolio constructed from the options of the same underlying asset and also estimate the trade required in order to turn the portfolio delta neutral. The delta of the portfolio is given by: ...
... price paid for a stock and the price received for it creates this cost -This is so because this hedging ...
... Covered Position Stoploss Strategy GREEKS - Delta - Theta - Gamma ...
... trader has to cover his short position. If a trader sells call contract and has equivalent long posit ion in the underlying he has cover. He will gain if the stock ...
... strike price on the option and a naked call position whenever the stock price goes down from the exercise price. If a trader sells call contracts standalone, he has a naked position exposure If this was possible in the real world, traders would be able to earn riskless profits as the cost of setting the hedge would always be less ...
... is an example of delta hedging. Such a package of option and share is called a delta neutral portfolio Delta hedging strategy is an improvement over the simple stoploss strategy. However, the option’s delta changes with changes in ...
... 0 0.2 0.4 0.6 0.8 0.2 0.4 0.6 0.8 1 1.2 Delta (ATM Call)Delta (ATM Put) Delta ...
... negative reflecting an inverse relationship with the price of the underlying. Deep in-the-money call options have a delta that approaches +1.00 as they are most likely to be exercised. Similarly, deep in-the-money put options would have a delta tending towards -1.00. Deep out-of-the-money ...
... these derivatives are known Example: Lets find the delta of the following portfolio constructed from the options of the same underlying asset and also estimate the trade required in order to turn the portfolio delta neutral. The delta of the portfolio is given ...
... price paid for a stock and the price received for it creates this cost. This is so because this hedging ...
