The greeks tag has no wiki summary.
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1answer
71 views
Greeks of Basket
I am considering a product composed of 10 underlying assets. The maturity is 5 year. Each year if the performance of the equi-weighted portfolio reach a barrier, it pays a coupon.
My question concern ...
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1answer
126 views
How to calculate implied volatility and greeks in Bull Put Spread option strategy?
Ok, obviously I am buying lower strike put and selling higher strike put. What is the recommended volatility and greeks to consider in my trade?
Volatility:
Average volatility between both legs?
...
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2answers
103 views
How to quickly sketch a second order greek profile for a vanilla position?
Assume that you are given an arbitrary payoff profile for European vanilla position (e.g. butterfly). How to make a back of the envelope sketch of a second order greek profile for it (i.e. plot ...
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2answers
304 views
How to calculate Vomma of Black Scholes model
This source (PDF) gives the closed-form for vomma (or volga, i.e. the second derivative of price w.r.t. volatility) of the Black Scholes option pricing model as:
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2answers
301 views
Equity option portfolio greeks with underlying
I'm curious about how to construct the five basic greeks for an equity option portfolio when there are shares of the underlying in the portfolio.
For example, a portfolio of 100 call options and 100 ...
2
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1answer
140 views
Greeks and Option Premium
If a linear sum of options is constructed such that the premium payout is zero, then does it mean that resultant greeks of the cumulated options positions will be nearly zero. For simplicity, lets ...
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1answer
208 views
Portfolio Greek Exposure Equations
What are the calculations for calculating greek exposures in a portfolio of equities and equity options? I think I have them but I want to be sure. Are these correct (for vanilla options)?
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2answers
319 views
Multi asset option portfolio risk management (greeks and FX exposure)
I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products ...
2
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1answer
144 views
Is there any evidence that an option delta approximates ITM expiry probability?
Several sources (online and offline) that discuss the delta of a listed vanilla option, state that its delta is a (guesstimate?) of the probability of said option expiring ITM (in the BSM framework).
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3answers
609 views
When do Finite Element method provide considerable advantage over Finite Differences for option pricing?
I'm looking for concrete examples where a Finite Element method (FEM) provides a considerable advantages (e.g. in convergence rate, accuracy, stability, etc.) over the Finite Difference method (FDM) ...
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3answers
397 views
Which greeks do you need to hedge if you want to implement an implied-volatility security?
Assume you want to create a security which replicates the implied volatility of the market, that is when $\sigma$ goes up, the value of the security $X$.
The method you could use is to buy call ...
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0answers
106 views
What is the highest frequency greek for options on futures on bonds?
I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...
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4answers
1k views
How to get greeks using Monte-Carlo for arbitrary option?
Let's assume I have an arbitrary option that I can price using Monte-Carlo simulation. What is the general approach (i.e. without relying on specific option type) to calculating the greeks in this ...
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2answers
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What does it mean to be long gamma?
When you are "long gamma", your position will become "longer" as the
price of the underlying asset increases and "shorter" as the
underlying price decreases.
source: ...
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1answer
257 views
Calculating Theta assuming other variables remain the same
Is there any way to calculate theta at X day in future based solely on knowing
1) Total Current Option Price
2) Days Till Expiration
How would this be done? Thank you
4
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1answer
167 views
Standard Deviations out the money where options will respond to underlying asset price changes
Is there an understood way of determining how far out the money an option can be, before it starts/stops responding to the underlying asset price changes?
I usually look at the greeks, gamma, delta, ...
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3answers
827 views
How can one compute the Greeks on VIX Futures
I am guessing the short answer to this question is "use the chain rule and linearity of the derivative," but I am looking for more specific advice on how to compute the derivatives of a VIX futures ...
4
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1answer
273 views
Is there any gamma in basis (i.e., floating for floating) interest rates swaps?
It is well known that vanilla fixed for floating swaps usually have a bit of gamma, but does a floating for floating (basis) swap have any? For the sake of simplicity, let's assume that both legs of ...
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6answers
3k views
What type of investor is willing to be short gamma?
As far as I understand, most investors are willing to buy options (puts and calls) in order to limit their exposure to the market in case it moves against them. This is due to the fact that they are ...
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6answers
1k views
Vanna - any practical uses for risk or pnl attribution purposes?
What is the practical use for Vanna in trading?
How can it be used for a PnL attribution?
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2answers
419 views
Who has introduced the term 'vega' and why?
The sensitivity of the option value $V$ to volatility $\sigma$ (a.k.a. vega) is different from the other greeks. It is a derivative with respect to a parameter and not a variable. To quote from Paul ...
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6answers
3k views
What is the “delta” option quoting convention about?
At my work I often see option prices or vols quoted against deltas rather than against strikes. For example for March 2013 Zinc options I might see 5 quotes available for deltas as follows:
...
