Options Greeks Flashcards
What are the Greeks?
Math formulas that help you interpret what an option is likely to do
When do the Greeks matter?
in-out spreads
iron condors
individual spreads
When do the Greeks NOT matter?
multiple spreads
aggregate risk analysis
What is Delta?
the rate of change for evert 1 point that the underlying moves
Your Delta is a positive value. Your position must be a _____ option.
call
Your Delta is a negative value. Your position must be a ____ option.
put
How does your Delta inform you of your directional bias?
your bullish positions have positive Delta, your bearish positions have negative Delta.
What is Gamma?
the rate of change of the Delta
When is Gamma high? When is Gamma low?
Gamma is high on ATM options and low on both OTM and ITM options
When is Gamma most important?
right before expiration
What is Theta?
the daily decay of an option
Theta and ________ are linked.
volatility
What is Vega?
the amount of sensitivity within the option for every 1% of volatility
(Roughly) What is the Delta of an option that is deep OTM?
≤ (+/-).20
What is the Delta of an option that is ATM?
(+/-).50
