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Questions tagged [option-greeks]

-a collection of statistical values that measure the risk involved in an options contract in relation to underlying variables (Delta, Vega, Gamma and Theta)

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How does a delta signify the probability of expiring in the money

I was watching this video on option greeks and the guy said (at 34 min): If an option has a delta of 34, it has a 34% probability of expiring in the money? Is it possible to understand it intuitively without getting into the math of Black Scholes…
Victor123
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How to Hedge delta and gamma of a put option simultaneously?

Say you took a short put position of 100 options (as you feel the option is undervalued). This put has a Delta of -0.5, so to make the portfolio delta-neutral you short 50 shares of the underlying asset correct? Now let's say the put has a gamma of…
Nick aa
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What exactly is the profit and loss of a portfolio?

I've searched all over the internet, but have not found the answer to this question. When we 'delta-hedge', we make the value of a portfolio 0. Now, we know that an approximation of the change in a portfolios value is given by THETA * dt +…
Hvaso
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What option Greek is responsible for this?

Suppose you’re day trading and the underlying is going up. You have a want a put though as you think it’s going down long term. If you bought a 0DTE put, and the underlying moves in the opposite just a little, the premium drops through the floor on…
pstatix
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Why ATM Call Options have larger negative theta compare to OTM and ITM?

Why do ATM Call Options have larger negative theta? For the same ATM Call Options, why smaller expiration, the more negative the theta? Can someone provide intuitions or explanations?
quant_to_be
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Is there a Greek that describe the sensitivity of an option's time value to strike?

Is there a Greek that describes the sensitivity of an option's time value to the strike price? Or is option time value independent of strike? It's obvious that strike doesn't change once an option is bought/sold, but it is useful to know the…
techie11
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How much does the volatility change for a 1$ move in the underlying

Is there a quick and dirty way to approximate how much the volatility of an underlying would change for a 1$ move in the underlying. The individual option Greeks measure the sensitivity of an option price w.r.t various factors like underlying…
Victor123
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Estimate a future option price given greeks and a 1$ move in underlying

Let us say underlying is at 50$, and the 50 call is at 0.50. delta=0.5, gamma =0.5, theta = .02, vega = .10. I apologize if these numbers are not realistic, I am very poor at Greeks. My question is: If tomorrow underlying moves 1$ to 51$. Is it…
Victor123
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compare theta value in the long call option

I read a lot about theta and I get confused. If I plan to buy a long call option to bet the stock price will go up. Is larger theta value better or smaller theta value better in terms of profit gain? For example, a stock is at 100 dollars right now.…
Jerry Zhang
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Holding all other parameters constant, why is theta higher for ATM calls than for ATM puts?

Compare theta for ATM puts and ATM calls with all other parameters (e.g. volatility, strike price, price of underlying, risk-free rate, etc.).
Michael Radin
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How do I know what option on a particular stock X will move the most?

Say for instance I have a view that MSFT in the coming 3 months is going to come out with a big upgrade to their full year guidance. Let's assume in the event that this happens the stock goes up a lot (+15%). Now suppose I want to buy a call option…
Choco93
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Put IVs being more than Call IVs - Can this be considered a bearish signal?

If in an Option Chain, 1) Average Put IVs are 4-5% more than average Call IVs 2) IV of Put Options, in general, is more than IV of equidistant Call Options (For eg . - For a stock @ 100 spot price, IV of 90 strike Put is more than that of 110 strike…
CCCC
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Calculating greeks from given option information

I have some software that spits out information about an option. Strike, underlying information, etc, but I cannot get the greeks using this software. Given that these are American options, is there any way I can calculate the greeks using the given…
Steve
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Comparing option deltas of significantly different underlyings

Please help me correct or confirm my intuition about options deltas. My understanding is that delta is the change in an option's price given a $1 change in the option's underlying. Moreover it's common to consider that the option's delta is a rough…
geofflittle
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Is there a theta in futures?

Is there a theta/delta (like in options) in futures? I mean, if the spot price of the underlying (for example: crude oil) up $5, Is there a ratio that the front 6 months contract will be affected, and other ratio for the 12 months contract ?
huab
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