Questions tagged [greeks]

Greeks are named quantities representing sensitivity of option price to change in underlying parameters. Use of [greeks] tag should relate to one more named quantities, such as delta or gamma.

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FX Options Greeks: Is there a meaning in converting the sensitivities values in different currencies?

Suppose you have a Call on JPY, domestic currency is USD The price will be in USD Let's say delta = 0.93 Does it make sense for any reporting reasons to convert this value into JPY ? What is even the ...
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Kirk Spread Approximation, Greeks by Finite Difference

I am using finite difference on Kirk's Approximation for Spread Options to estimate greeks of the Spread Option. Now this is creating an problem in the estimation of gamma. For at the money options (...
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Different scaling conventions for greeks

I have been following this tutorial (http://gouthamanbalaraman.com/blog/value-options-commodity-futures-black-formula-quantlib-python.html). It says in the conclusion and I quote:It is worth pointing ...
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Higher Vega with ATM options when Spot is higher

Which would have larger vega, an ATM call option at spot 100 or an ATM call option at spot 200. Apparently the answer is the one with ATM at spot 200. I am not sure how you get this answer. Why ...
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How to consider open interest & volume change in option pricing?

Is there publically available option pricing model or theory that considers open interest/volume % change? I believe that laws of supply and demand effect options like any tradable good. However, I ...
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Ideas for speeding up greek calculations

My current calculations using the vollib library averages 0.5 seconds. Is there any way to get it faster? Any tips/best practice notes will be helpful. This is for a scripting language such as python....
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140 views

Estimate Options Delta By Hand [duplicate]

Underlying = 100 K = 90 1 year Put at K is trading 5. What's the approximate delta of the put?
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Greeks Profile for Barrier Options

This may be a very basic question, but can someone help me with the Greek's profiles for Barrier Options. I am looking for Pictorial representations of Simple Barrier Option greeks(KI,KO). Thanks ...
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226 views

Can we 'predict' the delta of a stock? The delta of a stock is $\pm 1$ right? [closed]

“A stock is like a living organism. A sparrow, say. And we are able to create an emergent-based abstraction of that sparrow, which closely approximates the sparrow itself, accounting for migration ...
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Proof that adding some quantity of stocks in a portfolio of option does not change the portfolio Gamma

I would like to proof mathematically and intuitively that adding some quantity of underlying to a portfolio of option does not change the overall gamma. Can you help me?

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