• Create BookmarkCreate Bookmark
  • Create Note or TagCreate Note or Tag
  • PrintPrint
Share this Page URL
Help

Chapter 6. An Introduction to the Greeks > Chapter 6 Major Learning Points

Chapter 6 Major Learning Points

In this chapter we’ve learned the basics of the Greeks and understand that they are purely sensitivities of options to the various factors that form part of the various options pricing models.

GreekQuick definition
DeltaThe speed of the option price over the speed of the underlying asset price. Can also be viewed as the probability of an option expiring In the Money.
GammaSensitivity of delta relative to the underlying asset price movement. Can also be viewed as the odds of a change in delta.
ThetaOption price sensitivity to Time Decay. When theta is positive, Time Decay is helping the position. When theta is negative, Time Decay is hurting the position.
VegaOption price sensitivity to the underlying stock price volatility. When vega is positive, volatility is helping the position. When vega is negative, volatility is hurting the position.
RhoOption price sensitivity to interest rates. When rho is positive, increasing interest rates are helping the position. When rho is negative, increasing interest rates are hurting the position.



PREVIEW

                                                                          

Not a subscriber?

Start A Free Trial


  
  • Creative Edge
  • Create BookmarkCreate Bookmark
  • Create Note or TagCreate Note or Tag
  • PrintPrint