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Finideas Options Greeks Explanation

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Velkumar C
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39 views4 pages

Finideas Options Greeks Explanation

Uploaded by

Velkumar C
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Spot 15000 15001 15100

Strike 15000
Vol 15%
Time 1 1-May-21
Time 2 31-May-21
Put 150 ???? 100
Call 150 150.5 200 Rise
Delta 0.5
Put Delta -0.5
Spot rises by 1
Call will rise
as per its delta
15000 15001 15100
15000 Put 150 149.5 100
15000 Call 150 150.5 200

0 100
100

Spot - Strike = Call - Put

Call Delta 0.6 Call & Spot Positive In the Money


Put Delta -0.4 Put & Spot Negative Out of Money

15000 CE 15000 PE
15000 150 150
15100 0.5 -0.5
ITM OTM
15200 rise Slow
0.6

Spot rises by 1 Options changes as per its delta


spot rises by 1 Delta also change as per its Gamma

Spot 15000 15050


15000 Call 150 140

Volatility? Vega

Other factors remains constant


Volatility has gone up by 1%
Call will rise as per its Vega
Put will rise as per its Vega

Spot 15000 14900 -100


Strike 15000
Vol 15% 16% 14% 17% 20
Time 1 1-May-21
Time 2 31-May-21
Put 150
Call 150 160 140 ???? 150
Delta 0.5 -50
Put Delta -0.5
Vega 10
120
Time Effect Theta
Time & Call Negative
Time & Put Negative

Other factors remains constant


Time has gone up by 1 day
Call will fall as per its Theta
Put will fall as per its Theta

Spot 15000
Strike 15000
Vol 15%
Time 1 1-May-21 2-May-21
Time 2 31-May-21
Put 150 130
Call 150
Delta 0.5
Put Delta -0.5
CE PE Vega 10
Theta -20

Delta Vega Theta


0.5 10 -20
-0.5 10 -20

Option Transaction Qty Port Delta Theta


15000 CE Bought 100 50 -2000

Portfolio Greeks = Individual Greek * Net Qty

Port Delta is 50 long That means my profile is like I have bought 50 Futures
Qty Call Premium 15100 Profit per optTotal Profit
15000 CE 100 150 200 50 5000
Future 50 15000 15100 100 5000

Reliance - Your portfolio Delta is -300

Individual Theta negative

Portfolio Theta 20000


Bullish Sell Put
Bearish Sell Call
Rangebound Sell Call & Put

Maximum Theta
Lose Delta

Individual Theta negative -20


-100 Qty
Portfolio Theta Positive 2000

Spot 15000
Delta Port Delta
15000 CE 100 0.5 ATM 50 Bullish 50%
15200 CE -100 0.3 OTM -30 Bearish 30%

20

Spot 14800
Delta Port Delta
15000 CE 100 0.3 OTM 30
15200 CE -100 0.15 Deep OTM -15

15

Spot 15200
Delta Port Delta
15000 CE 100 0.7 ITM 70
15200 CE -100 0.5 ATM -50

20

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