# Questions tagged [options]

A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.

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### How to estimate or determine leverage from strike price on ITM call option? [closed]

In this text 4x leverage is mentioned: "ITM call options have a strike (X) below spot price (S). ITM call option position is determined by aiming for ~4x leverage. The position size is set at 33%...
• 101
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### Where can I find statistics of options? [duplicate]

I am a beginner into the options world, I am reading Paul Wilmott's book (Paul Wilmott Introducing Quantitative Finance) and trying to plot the models he derives on charts. I am also a programmer, so ...
1 vote
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### Why IV surface over call price surface? [closed]

Why do options traders usually model and trade the IV surface? I appreciate that the IV surface is more standard across assets, but why do we go to so much trouble with the IV surface? To me it seems ...
• 11
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### How to fInd relation between call and Put IV on expiry day without calculating?

During the expiry day, in the European style options, the effect of rho will be very less. Let on expiry day the market is exactly at some strike price S at some moment of time. At that moment if the ...
1 vote
48 views

### Contradictory arguments for ATM/ITM/OTM option demand

I am trying to understand which of the options have the most demand, and found this discussion here. The arguments presented are as follows: ATM is more liquidly traded than ITM/OTM because they are ...
• 175
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### Stopping times, question on exercise

I'm completing exercises from Steve Shreve - Stochastic Calculus for Finance I and I'm stuck on one subtask for which I can't find missing element for 11 stopping ...
154 views
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### Model based PnL explain for FX Options

In FX options the vol surface for a given maturity is usually described by three or five points, I.e. Atm, 25 delta risk reversal and butterfly and 10 delta risk reversal and butterfly. Then models ...
• 243
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### How to determine break-even price on a delta hedge?

Suppose there is a portfolio of short $x$ shares and long 1 call option. This call option has a strike and premium. If the stock moves up, you loss money on the short position but gain on the option ...
222 views

### Black and scholes option pricing

I have to solve the following problem in the Black and scholes model: find the price at anty $t\in[0,T)$ for an option whose payoff at the maturity is: 0 \ \ \ \text{if} \ S_T<K_1\\...
• 123
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### In the derivation of the Black-Scholes PDE, using delta hedging, how is this linked to the risk neutral valuation? [closed]

I was reading this paper: http://www.columbia.edu/~mh2078/FoundationsFE/BlackScholes.pdf I don't understand the paragraph here: "The most interesting feature of the Black-Scholes PDE (8) is that ...
1 vote