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READING 57: THE GREEK LETTERS #67

Open Grefer opened 4 years ago

Grefer commented 4 years ago

https://www.melonsblog.cn/2020/02/reading-57-greek-letters.html#more

Grefer commented 4 years ago

Call option deltas range from zero to positive one, while put option deltas range from negative one to zero.

Grefer commented 4 years ago

Large changes in rates have only small effects on equity option prices. Rho is a much more important risk factor for fixed-income derivatives.

Grefer commented 4 years ago

Theta is most pronounced/negative when the option is at-the-money.

Grefer commented 4 years ago

Portfolio insurance can be created by all of the statements except selling call option in the proportion 1/delta. This action generates a delta-neutral hedge, not portfolio insurance.

Grefer commented 4 years ago

The deeper the options are in-the-money, the larger their deltas and therefore the more expensive to delta hedge.