Option Greeks
Option prices and its changes, to variation in variables, suggest that there are several moving parts.
Option greeks enable, option trader to measure sensitivity of one variable on option price, while
keeping other variables constant. Of course, a build onto second order option greeks is necessary to
understand these complexities and also know, how they would influence your P&L of option
positions.
Option prices and its changes, to variation in variables, suggest that there are several moving parts. Option greeks enable, option trader to measure sensitivity of one variable on option price, while keeping other variables constant. Of course, a build onto second order option greeks is necessary to
understand these complexities and also know, how they would influence your P&L of option
positions.
- 01Option Greeks Explained: Breaking the ice!As we are aware, the pricing of options is complex and non-linear, as compared to futures, which is a linear price-based derivative on the…6 min · video
- 02DeltaOption Delta, by definition, is a first order option Greek, measuring the sensitivity of option premium to the change in underlying price. If the…6 min · video
- 03ThetaWe are aware that options as financial instruments are speculative instruments and not investment vehicles. They have an expiry date and are…6 min · video
- 04VegaVega is one of the "Greeks," which are a set of sensitivity measures that help traders understand how options prices are affected by changes in…3 min · video
- 05GammaGamma is a second-order Greek in options trading and refers to the rate of change of an option's delta per unit change in the underlying asset's…4 min · video
- 06CharmIn options trading, the second order option Greek, "charm" (also known as "delta decay") is a measurement of the change in an option's delta due to…3 min · video
- 07VannaVanna is second order greek, it is the ratio of change in vega to the change in underlying. Alternatively, it is the ratio of change in delta to the…3 min · video
- 08VolgaVolga is a second-order option Greek that measures the rate of change of vega (the option's sensitivity to changes in implied volatility) with…2 min · video
- 09VetaThe sensitivity of the vega to changes in time to expiration, sometimes referred to as either vega decay or DvegaDtime or Veta.2 min · video