Option Greeks

Question 1

Δ =

Answer 1

Question 2

Δ_P =

Answer 2

Δ_P = -e^-δTN(-d₁)

Question 3

Δ_C - Δ_P =

Answer 3

e^-δT

Question 4

Δ_C =

Answer 4

Δ_C = e^-δTN(d₁)

Question 5

What are the bounds for Δ_C ?

Answer 5

0 ≤ Δ_C ≤ 1

Question 6

What are the bounds for Δ_P ?

Answer 6

-1 ≤ Δ_P ≤ 0

Question 7

Δ _____ as the stock price increases.

Answer 7

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

Question 8

Γ =

Answer 8

Question 9

Γ_C is positive/negative ?

Answer 9

Γ_C​ is positive

Question 10

Γ_P is positive/negative ?

Answer 10

Γ_P​ is positive

Question 11

Γ_C [≤, =, ≥] Γ_P

Answer 11

Γ_C = Γ_P

Question 12

θ is usually positive/negative ?

Answer 12

θ is usually negative

Question 13

θ =

Answer 13

θ = Change in option price as time advances

Question 14

Vega =

Answer 14

Question 15

Vega_call is positive/negative ?

Answer 15

Vega_call​ is positive

Question 16

Vega_put is positive/negative ?

Answer 16

Vega_put​ is positive

Question 17

Vega_call [≤, =, ≥] Vega_Put

Answer 17

Vega_call = Vega_put

Question 18

ρ =

Answer 18

Question 19

ρ_c is positive/negative ?

Answer 19

ρ_c​ is positive

Question 20

ρ_p is positive/negative ?

Answer 20

ρ_p​ is negative

Question 21

ψ = ?

Answer 21

Question 22

ψ_c is positive/negative ?

Answer 22

ψ_c is negative

Question 23

ψ_p is positive/negative ?

Answer 23

ψ_p is positive

Question 24

In a portfolio, option greeks are ______ ?

Answer 24

In a portfolio, option greeks are additive

Question 25

Ω = ?

Answer 25

Question 26

σ_option =

Answer 26

σ_option = |Ω|σ_stock

Question 27

Relate:

1. r
2. Ω
3. α
4. γ

Answer 27

γ - r = Ω(α - r)

Question 28

Ω_call ≥ ?

Answer 28

Ω_call ≥ 1

Question 29

Ω_put ≤ ?

Answer 29

Ω_put ≤ 0

Question 30

Ω_portfolio = ?

Answer 30