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Option Greeks A measure of sensitivity to changes in the price of the underlying asset A measure of delta s sensitivity to changes in the price of the stock A measure of an option s sensitivity to time decay A measure of an option s sensitivity to volatility A measure of an option s sensitivity to changes in the risk free interest rate The unknown component to the actual option price premium The calculated value according to Black Scholes Arguably the most important Greek delta can be expressed as a percentage but it is most often shown in decimal form ranging from 1 1 0 A Delta of 1 0 means that the option price will change one point for every one point move in the underlying stock A delta of 5 common in the at the money strike price means the price of the option will move a half point for every one point move in the underlying market The delta of a call is shown as a positive number whereas the delta of a put is displayed as a negative number because the put value moves in the Continue to download »
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