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14 Cards in this Set
- Front
- Back
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What are Greeks and what are its parameters |
Greeks are parameters quantifying risk attributes associated with options.
Delta, Gamma, Vega, Theta, Rho Delta force shooting a gamma ray on group of vegans in a theater in Rho Island |
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What is Delta and how is value determined? |
Delta is option price sensitivity in relation to changes in security price. Measure expected change in option price based on a $1 change in security.
Black Scholes formula |
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Calls have a _____ delta and Puts have a _____ delta. |
positive, between 0 to 1 negative, between 0 to -1 |
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How does an increase in the security affect the delta and option price |
increase in price pushes call option towards ITM, increasing delta and option price. |
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what happens to delta when options near expiration |
ITM options goes to 1, OTM options nears 0, regardless of price change. |
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what is Gamma |
Measure of change in Delta given a $1 change in security. Not directional. Just measures amount of change in Delta. |
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How is Gamma value related to expiration date. |
Gamma value is greater closer to expiration |
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Gamma value in relation to OTM, ATM, ITM. |
Gamma value highest ATM. |
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meaning of Delta beats Theta and vice versa |
Money beats time for OTM, thus profitable. |
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Relation between Vega and time of expiration |
The more time remaining, the higher the vega |
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What is Rho |
Interest rate sensitivity to options. Anount option value change based on 1 percent -point change in interest rate. If interest increase, call prices increase and put prices fall. |
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What is Vega and how does it effect the options price What part of options does it effect |
Time value |
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What is Theta Relation to closeness to expiration date |
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Why does ATM experience more dollar loss over time than in or out of the money options |
Has most time value built into the premium |
