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  1. Nicole Seaman

    P1.T4.820. Delta- and gamma-neutral position; and the relationship between delta, theta, and gamma (Hull Ch.19)

    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...
  2. S

    Theta of ITM Put option

    Hi @David Harper CFA FRM I found in your earlier post that intuition for theta to be +ve for ITM Put option as below: "if you hold a deep ITM put, with asset price near zero, more "waiting time" to the Euro expiration is not a good thing, asset price can't go below zero. Volatility has...
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    Option Greeks

    I.Portfolio Manager Sally has a position in 100 option contracts with the following Greeks, theta=+25000 , vega=+330000 and gamma = -200 . Which of the following additional trades, utilising generally ATM options will neutralise (hegde) the portfolio with respect to theta, vega and gamma ? 1...
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    GARP.2011.PQ.P1 FRM 2011 Practice exam part 1/exam 2 question 25 (garp11-p1-25)

    The question stated that: "theta is always negative for long calls and long puts and positive for short calls and short puts" The answer sheet indicated that this statement is correct. However, the review book clearly states ( page 342) that isn't true in some cases for European options...
  5. S

    question on Vega and Theta

    Dear David, kindly see below: An option portfolio exhibits high unfavorable sensetiviy to increases in implied volatility and while experiencing significant daily losses with the passage of time. Which strategy would the trader most likely employe to hedge the portfolio? 1) sell short...