# Tagged Questions

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### Calculation of option Greek (sensitiviety) theta via finite difference

I am able to get good approximations for delta, gamma, and rho via finite difference method, but not theta. I believe my issue is the value of h. Theta is basically the difference between the price ...
238 views

### Option greeks vs Position greeks

I know that when it comes to delta, you would calculate your position delta (of a stock position) as follows: option delta * position size * 100 For example if I ...
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### How do I calculate the probability of a short option position expiring worthless?

I want to be able to determine the probability of a short option position (call or put) expiring worthless. Don't know where to start but I see probabilities derived from the greeks on some web sites?...
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### why Implied Vol (VIX) increase with decrease in Stock Price or vice versa?

why Implied Vol (VIX) increase with decrease in Stock Price or vice versa? whereas Vega is positively related with change in option price to change in stock price.
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### Why are the greeks for the underlying stock 0 with the exception of delta?

In my textbook that I am self-studying from it is given that (assuming the Black-Scholes framework): $\Delta_{stock} = \partial S / \partial S = 1$ All other Greeks for the underlying stock = 0 I ...
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### What is the “inflation delta” of an option?

I'm preparing a report on the different Greeks used in risk measurement, and my boss mentioned the inflation delta within the first-order Greeks (and the Inflation Vega, but I guess that if I figure ...
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### derive vega for black schole call from this formula?

Is it possible to get the right formula for vega of a call option under the black scholes model from this formula? \frac{\partial{C}}{\partial{\sigma}}=\frac{S_0}{\sqrt{2\pi}}{e^\frac{-d_+^2}{2}}(\...
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### Accurately calculating Greeks for options near expiration

I understand that when a vanilla European option is near expiry, the Theta calculated from BS formula is very inaccurate and almost meaningless for practical use. However, I'm not sure if other ...
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### How do different models impact option Greeks?

If I trade an option using delta, vega, Prob OTM, etc. these are derived from a model. How do leading models impact valuations in terms of the Greeks? I suppose to form a baseline it would have to be ...
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### Greeks across different underlying

To monitor risk of a client portfolio, does it make sense to accumulate Greeks across different underlying? If yes, how can Greeks be normalized across different underlying?
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### Why not delta of Call option is stochastic or random variable?

Delta of an option is defined as ratio of change in price of call option to change in price of underlying securities. If, $c_t$ is call option price at time $t$ and $S_t$ is the price of underlying ...
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### Using limit orders or stop orders and gamma

From Dynamic Hedging by Taleb: Risk Management Rule: Option trader lore states that when long gamma, use limit orders. When short gamma, use stop orders. I cannot understand why this is and the ...
152 views

### Link between Vega and Gamma

"The vega is the integral of the gamma profits ( ie expected gamma rebalancing P/L) over the duration of the option at one volatility minus the same integral at a different volatility...Mathematically,...
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### Calendar spreading and difference in cash and futures

"Often the calendar spreading gives rise to two different levels of gamma: a long gamma in one maturity against a short gamma in another one. This may be stable except that the two maturities might ...
821 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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### Computation of option vega under CEV

It is easy to define the option vega $\nu=\frac{\partial C}{\partial \sigma}$ under Black Scholes model since volatility is a single quantity. However, under CEV or local volaility model, it is ...
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### Interest Rate Risk - The Greeks

IR Delta and Gamma. Can someone please explain if my understanding is accurate as relates to a 2yr interest rate swap? You are considered to be long Delta in an interest rate swap if you are ...
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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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### Greeks of a Basket Option

I want to estimate delta, vega and gamma for a basket option. This option is a European Call option. The underlying is $S=\omega_1 S_1 +\omega_2 S_2$ Where: $S1$ = stock price of asset 1 $S2$ = ...
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### Which volatility to use?

For calculating the greeks http://www.vollib.org/html/apidoc/vollib.black.greeks.html Should I use historical volatility or implied volatility?
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### Extracting IB market data: bid and ask for greeks and IV

I wrote a piece of code to get option chains with volatility and greeks from IB market data. After testing yesteday, it seems to work, but I am surprised of seeing bid and ask for impliedVolatility ...
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### Gamma Imbalance Explanation

Can someone please give me an explanation as to what put-call gamma imbalance specifically refers to (imbalance of what?), and why they may exacerbate volatility from a market perspective, and why the ...
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### Interpretation of vega out of BS formula

I am comparing Monte Carlo estimates of VaR (using importance sampling) under both the normal and student distributions. I am also considering risk factors other than log-prices; in particular, ...
125 views

### Gamma derivation from the expectation

I am trying to derive Gamma from the expectation principle (differentiating under expectation sign). I understand these steps \$\frac{d^2 C}{d x^2} = e^{-r\tau} \mathbb{E} [ \frac{\partial}{\partial x}...
651 views

### The greeks: where do they come from?

I’m studying the BSM model and having a look at the greeks. I was reading Derivatives, by Paul Wilmott, and he gives the closed form solutions without making the reader see where these solutions come ...
836 views

### Calculating Greeks using BinomialTree in Matlab [closed]

section 1. Calculating sensitivity of the price of derivatives American or European option using binomial tree model section 2. Calculating first order greeks the code compiles till this point ...
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### Suppose you bought a July ITM call and sold an August ATM put, am I net long or short?

Here is the full question, even though ive broken it down to the mini question above. Suppose you have bought a July ITM call and sold an August ATM put. What would be your delta in this position? ...
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### Variance swap replication and variance vega

Noob here. I've been trying to gain a better understanding of variance swaps and what better way than to replicate it with a portfolio of better understood instruments. I have read the GS 1999 ...
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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: http://www....