What's new

vega

  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. P

    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...
  3. 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...
Top