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-2
votes
2answers
59 views

Option greeks: sensitivity to 1% move

In a Black&Scholes framework how can I compute the following sensitivities: to 1% move in the underlying price to 1% move in implied volatility I would like the greeks to tell me how many ...
0
votes
1answer
94 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 ...
2
votes
0answers
160 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 ...
1
vote
0answers
17 views

In this scenario could gamma be higher for OTM options?

Let's say there is a $1 stock, with say 1 day to expiration. The 1.5 strike call, is probably a 0 delta at this point; however, a 1 point increase would mean the stock would be at trading at 2 ...
1
vote
0answers
58 views

Straddle neutral strategy

What does it mean to implement a delta-neutral strategy for straddle ? A straddle consists in buying a call and a put simultaneously, at the same date, on same underlying, with same maturity and ...
1
vote
0answers
124 views

Do you use software for finite element valuation or do you roll your own?

Engineers put a lot of time and effort in developping high quality finite element (FE) software (deal.II, Dune, Elmer,...). So I was wondering if some of those tools would be suitable for quantitative ...
0
votes
0answers
22 views

Intermediate Project Presentation

I would like to know an ideal plan for explaining/representing Greeks (1st,2nd,3rd) order. The topic seems to be quite vast and very interesting but not possible to cover within a 15 mins time frame, ...
0
votes
0answers
34 views

Why does the OTM call sometimes have a higher theta than the ATM call?

In this AAPL option chain on Mar20 call options, the OTM calls have a slightly higher theta than the ATM calls. Why is this? Is not time value(and thereby time decay) supposed to be highest for ...