October 9, 2008
Stock Option Greeks
bionicturtledotcom posted video:
This is a brief review of the option Greeks. They are sensitivities: what is the change in option price with respect to [stock price | volatility | rate | term]. Delta: change in option price with respect to stock pric. Gamma: change in delta with respect to stock price. Vega: with respect to volatility. Rho: with respect to rate. Theta: with respect to term
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Comments on Stock Option Greeks »
Yes because gamma is rate of change of delta, so the Gamma plot is understood by rate of change in delta; e.g., gamma going to zero b/c delta is stabilizing.
In exlaining Gamma, it is repeatedly quoting Delta.
When explaining Gamma, it is repeatedly saying Delta.
The 5th term should be Theta.