Questions tagged [option-greeks]

-a collection of statistical values that measure the risk involved in an options contract in relation to underlying variables (Delta, Vega, Gamma and Theta)

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Put IVs being more than Call IVs - Can this be considered a bearish signal?

If in an Option Chain, 1) Average Put IVs are 4-5% more than average Call IVs 2) IV of Put Options, in general, is more than IV of equidistant Call Options (For eg . - For a stock @ 100 spot price, ...
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3answers
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How to Hedge delta and gamma of a put option simultaneously?

Say you took a short put position of 100 options (as you feel the option is undervalued). This put has a Delta of -0.5, so to make the portfolio delta-neutral you short 50 shares of the underlying ...
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1answer
127 views

Is there a Greek that describe the sensitivity of an option's time value to strike?

Is there a Greek that describes the sensitivity of an option's time value to the strike price? Or is option time value independent of strike? It's obvious that strike doesn't change once an option is ...
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1answer
157 views

What exactly is the profit and loss of a portfolio?

I've searched all over the internet, but have not found the answer to this question. When we 'delta-hedge', we make the value of a portfolio 0. Now, we know that an approximation of the change in a ...
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1answer
188 views

How much does the volatility change for a 1$ move in the underlying

Is there a quick and dirty way to approximate how much the volatility of an underlying would change for a 1$ move in the underlying. The individual option Greeks measure the sensitivity of an option ...
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1answer
466 views

Estimate a future option price given greeks and a 1$ move in underlying

Let us say underlying is at 50$, and the 50 call is at 0.50. delta=0.5, gamma =0.5, theta = .02, vega = .10. I apologize if these numbers are not realistic, I am very poor at Greeks. My question is: ...
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1answer
272 views

Calculating greeks from given option information

I have some software that spits out information about an option. Strike, underlying information, etc, but I cannot get the greeks using this software. Given that these are American options, is there ...
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4answers
13k views

How does a delta signify the probability of expiring in the money

I was watching this video on option greeks and the guy said (at 34 min): If an option has a delta of 34, it has a 34% probability of expiring in the money? Is it possible to understand it intuitively ...