Stock Option Greeks

This is a brief review of the option Greeks. They are sensitivities: what is the change in option price with respect to [stock price | volatility | rate | term]. Delta: change in option price with respect to stock pric. Gamma: change in delta with respect to stock price. Vega: with respect to volatility. Rho: with respect to rate. Theta: with respect to term

Category:

Education

Tags:

• Finance
• Excel
• Derivatives
• Stock
• Options

[TimbergoSpielbergo]

Excellent

[bionicturtledotcom]

@TimbergoSpielbergo thanks, short but sweet and supportive!

[FormosaFinance]

In exlaining Gamma, it is repeatedly quoting Delta.

[bionicturtledotcom]

Yes because gamma is rate of change of delta, so the Gamma plot is understood by rate of change in delta; e.g., gamma going to zero b/c delta is stabilizing.

[6000deepsead]

Θ+(r-q)SΔ+0.5σ^2S^2Γ=rf

gamma is "curvature"

so,delta hedging with curvature is below

ΔΠ=ΘΔt+(ΓΔS^2)/2

[joakimbieber]

xgqYXGSXYYSXFCV

[abnchetan]

great exp. Thanks.

[jptelthorst]

Can you explain how Delta, Gamma, etc, was calculated in this spreadsheet?

[Airgutter87]

Do gamma rays mutate your mom's rho, or is her vega to sore from delta's theta?

[ashishsimsr5]

Great



[jkuk123]

you are amazing!

[neeleshgupta]

Thanks for the excellent presentation. Althought at 4:21 you state "We have low delta close to 0 when the option is deeply Out of the Money, and also when the option is deeply in the money. The second part seems incorrect. Option delta for deeply in the money is 1.0".