Tag Info

New answers tagged


Delta increases as volatility increases. In particular, the formula for delta of a put is $$\Delta=-exp\left(-qt\right)\Phi\left(-d_{1}\right) $$ with $$d_{1}\equiv\frac{ln\left(S/K\right)+\left(r-q+\frac{\sigma^{2}}{2}\right)t}{\sigma\sqrt{t}} $$ setting $S=K$ and $r=q$ you would get $$d_{1}\equiv\frac{\sigma}{2}\sqrt{t} $$ By the chain rule, an ...


Given that by delta means that if the price goes up by 0.01% i.e. one basis point, you gain 15 and vice versa if the price goes down by one basis point. You know that the daily standard deviation is 2.2%, than again you know that $ 220*15 = 3300$ is the standard deviation of your portfolio. So, since we are using a normal distribution you can look at a table ...

Top 50 recent answers are included