# 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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### compare theta value in the long call option

I read a lot about theta and I get confused. If I plan to buy a long call option to bet the stock price will go up. Is larger theta value better or smaller theta value better in terms of profit gain? ...
110 views

### negative delta for bull put spread

I am working on bull put spread. Currently the spot is way below both the strike prices. So one strike is deep in the money and other is in the money. Net position delta retrieved from Bloomberg for ...
77 views

### Holding all other parameters constant, why is theta higher for ATM calls than for ATM puts?

Compare theta for ATM puts and ATM calls with all other parameters (e.g. volatility, strike price, price of underlying, risk-free rate, etc.).
66 views

### How do I know what option on a particular stock X will move the most?

Say for instance I have a view that MSFT in the coming 3 months is going to come out with a big upgrade to their full year guidance. Let's assume in the event that this happens the stock goes up a lot ...
96 views

### Which option greeks explain the majority of an option's price move?

I have recently picked up a few derivatives books for leisurely reading and have started to look into the option greeks. There are many e.g. delta, vega, theta, and gamma. There are others which are ...
94 views

### 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, ...
961 views

### 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 ...
153 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 ...
173 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 ...
208 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 ...
606 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: ...