To hedge options Greeks, we want to rely on the formula: +/- Quantity * %Greek = Position Greek, where a short position is represented by negative quantity. In this example, the market maker writes 10,000 ATM call options, each with percentage (per option) delta of 0.550 and gamma of 0.0440...
Hi community,
Let's assume a commodity future contract priced with MtM. This price moves on a daily basis. ($50, $51, $49, $48...)
I'm trying to compute the delta of this contract at a certain date. I know that the price of such contract is : S*EXP([rate + storage - convenience - yield](T))...
Learning objectives: Explain how to implement and maintain a delta-neutral and a gamma-neutral position. Describe the relationship between delta, theta, gamma, and vega.
Questions:
820.1. Trader Joe (who is unrelated to the awesome grocery store!) takes a long position in 100 out-of-the-money...
Learning objectives: Describe delta hedging for an option, forward, and futures contracts. Describe the dynamic aspects of delta hedging and distinguish between dynamic hedging and hedge-and-forget strategy. Define the delta of a portfolio.
Questions:
818.1. A market maker takes a short...
Learning objectives: Describe and assess the risks associated with naked and covered option positions. Explain how naked and covered option positions generate a stop loss trading strategy. Compute the delta of an option.
Questions:
817.1. As a market maker, Toughgreen Financial has written...
Learning objectives: Explain how the binomial model can be altered to price options on: ... currencies, and futures. Define and calculate delta of a stock option.
Questions:
813.1. Below is illustrated the two-step binomial tree implied by the following assumptions for a six-month put option...
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