Option Greeks Flashcards
1
Q
Δ =
A
2
Q
ΔP =
A
ΔP = -e-δTN(-d1)
3
Q
ΔC - ΔP =
A
e-δT
4
Q
ΔC =
A
ΔC = e-δTN(d1)
5
Q
What are the bounds for ΔC ?
A
0 ≤ ΔC ≤ 1
6
Q
What are the bounds for ΔP ?
A
-1 ≤ ΔP ≤ 0
7
Q
Δ _____ as the stock price increases.
A
Δ **increases **as the stock price increases.
8
Q
Γ =
A
9
Q
ΓC is positive/negative ?
A
ΓC is positive
10
Q
ΓP is positive/negative ?
A
ΓP is positive
11
Q
ΓC [≤, =, ≥] ΓP
A
ΓC = ΓP
12
Q
θ is usually positive/negative ?
A
θ is usually negative
13
Q
θ =
A
θ = Change in option price as time advances
14
Q
Vega =
A
15
Q
Vegacall is positive/negative ?
A
Vegacall is positive
18
Q
ρ =
A
21
Q
ψ = ?
A
25
Q
Ω = ?
A
30
Q
Ωportfolio = ?
A
