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2
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1answer
66 views

VaR calculation methods of options

I am a little bit confused about VaR in Options and I need a clarification for. I collected the following formulas, can you suggest what is the best formula and explain me why, please?
0
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1answer
73 views

Implied volatility interview question [closed]

If an implied volatility of an out of the money call option goes to infinity,what happens to the delta of the said call option?
5
votes
3answers
215 views

Greeks: Why does my Monte Carlo give correct delta but incorrect gamma?

For a vanilla European call, my Monte Carlo method gives the right option price and delta but the wrong gamma. In particular, the value of gamma varies wildly each time I run the method. I estimate ...
2
votes
1answer
66 views

Effect of volatility on the delta of a call option

In the book 'Dynamic Hedging', Nassim Taleb writes: ...
2
votes
1answer
174 views

Black model: Delta - strike relationship regardless of expiry?

While wandering through some QuantLib experimental classes for FX trading, I've found this Black Delta Calculator. By reading its .cpp, it seems that no use of ...
0
votes
1answer
199 views

Gamma and delta P&L example question

I'm trying to get a basic understanding of this example delta ladder ...
0
votes
0answers
59 views

How do I track implied volatility of specific delta?

I'm a newbie with respects to volatility trading and options. I recently purchased a book on the topic called "Trading Implied Volatility -An introduction" by Simon Gleadall. It's been one of the most ...
0
votes
1answer
85 views

Delta formula for FX vanilla option

What value do you use for annual dividend yield? It does not apply in case of FX.
4
votes
1answer
47 views

What is the probability distribution of the changes in $\Delta$?

What are the odds that a 10 delta option will become a 30 delta option in "N" number of days? Is that calculation possible? For instance, I want to know the probability with which my 56 day, 10 ...
0
votes
1answer
173 views

What is the formula for beta weighted delta and gamma?

I am trying to calculate the beta weighted delta and gamma for a portfolio of options of different underlying stocks, but I can't seem to find the correct formula. Can someone point me to it or a ...
1
vote
2answers
1k views

How can I calculate the strike price or implied volatility from a given delta?

I have calculated the implied volatility for all strikes of a certain product (options on futures) and approximated the ATM volatility. My question is how can I figure out the implied volatility for a ...
1
vote
1answer
78 views

Delta of a standardized at-the-money 30-day put option

The plot below depicts the delta of a standardized at-the-money 30-day put option on the S&P500 tracker SPY over a 14-year period. This is data from OptionMetrics and standardized prices are ...
2
votes
1answer
248 views

Value at Risk from Delta of a single asset portfolio

I am trying to figure out the following, for me unfamiliar type of question: Given is a single asset portfolio: the Delta of the portfolio is 15, the value of the asset is 10 and the daily volatility ...
0
votes
0answers
2k views

Are DV01 (or PV01) and IR01 one and the same?

IR01 measures the sensitivity of a portfolio or derivative to a parallel shift in the yield curve. Sometimes this is DV01 Dollar value (or PV01 present value). Is it always?
0
votes
1answer
292 views

Delta in Covered Calls?

Just want to check whether i understand it correctly: Long Calls have positive delta Long Puts have negative Delta Long stock has 0.01 delta 100 Shares have 1 delta Therefore: Covered Call = 1 ...
2
votes
0answers
204 views

EUR/PLN and EUR/USD delta-term-vol surface quoting convension

does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
0
votes
1answer
271 views

compute FX forward from broker's data

assume I have following delta-term vol data from broker: ...
1
vote
2answers
825 views

Delta of a Down and Out Call

I came across some graphs depicting the delta of a down-and-out call. They show that, if the risk free rate of return is 0, the delta is constant at 1. However, if the rate of return is for example ...