Option Greeks Flashcards

1
Q

Δ =

A
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
2
Q

ΔP =

A

ΔP = -e-δTN(-d1)

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
3
Q

ΔC - ΔP =

A

e-δT

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
4
Q

ΔC =

A

ΔC = e-δTN(d1)

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
5
Q

What are the bounds for ΔC ?

A

0 ≤ ΔC ≤ 1

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
6
Q

What are the bounds for ΔP ?

A

-1 ≤ ΔP ≤ 0

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
7
Q

Δ _____ as the stock price increases.

A

Δ **increases **as the stock price increases.

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
8
Q

Γ =

A
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
9
Q

ΓC is positive/negative ?

A

ΓC​ is positive

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
10
Q

ΓP is positive/negative ?

A

ΓP​ is positive

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
11
Q

ΓC [≤, =, ≥] ΓP

A

ΓC = ΓP

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
12
Q

θ is usually positive/negative ?

A

θ is usually negative

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
13
Q

θ =

A

θ = Change in option price as time advances

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
14
Q

Vega =

A
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
15
Q

Vegacall is positive/negative ?

A

Vegacall​ is positive

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
16
Q

Vegaput is positive/negative ?

A

Vegaput​ is positive

17
Q

Vegacall [≤, =, ≥] VegaPut

A

Vegacall = Vegaput

18
Q

ρ =

A
19
Q

ρc is positive/negative ?

A

ρc​ is positive

20
Q

ρp is positive/negative ?

A

ρp​ is negative

21
Q

ψ = ?

A
22
Q

ψc is positive/negative ?

A

ψc is negative

23
Q

ψp is positive/negative ?

A

ψp is positive

24
Q

In a portfolio, option greeks are ______ ?

A

In a portfolio, option greeks are additive

25
Q

Ω = ?

A
26
Q

σoption =

A

σoption = |Ω|σstock

27
Q

Relate:

  1. r
  2. Ω
  3. α
  4. γ
A

γ - r = Ω(α - r)

28
Q

Ωcall ≥ ?

A

Ωcall1

29
Q

Ωput ≤ ?

A

Ωput0

30
Q

Ωportfolio = ?

A