Equity Options Greeks
Imran Lakha
20 years: Equity derivatives trading
In this video, Imran explains the main options Greek in detail. He further explains the concept of gamma trading and how volatility traders delta hedge their options positions to trade volatility agnostic to market direction. He also gives us an overview of how the greek profile of a vanilla option changes as we move through strike price and also as we pass through time.
In this video, Imran explains the main options Greek in detail. He further explains the concept of gamma trading and how volatility traders delta hedge their options positions to trade volatility agnostic to market direction. He also gives us an overview of how the greek profile of a vanilla option changes as we move through strike price and also as we pass through time.
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Equity Options Greeks
18 mins 33 secs
Key learning objectives:
Identify the different Option Greeks
Understand the concept of Gamma Trading
Understand how volatility traders delta hedge their options positions to trade volatility agnostic to market direction
Overview:
The three main options Greeks are Delta, Gamma and Theta.
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What is the Delta of an option?
The change in the option value with respect to a change in spot price.
DELTA = Change in option value / Change in stock price
What is the GAMMA of an option?
The change in the option delta for a given change in the spot price. It is the change in DELTA for a 1% change in the Spot price.
What is the Theta of an option?
If an option is worth 20 dollars today, all things being equal, it will be worth slightly less tomorrow. That incremental difference from one day to the next is THETA or TIME DECAY. THETA is the change in price of an option for a 1 day move in time.
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Imran Lakha
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