简单来说,delta衡量的是期权价格变化相对于基础工具价格的影响。对于看涨期权(CALL OPTION,则值可以在0到1之间变化;对于看跌期权(PUT OPTION)来说,则该数值可以在0到-1之间变化,具体取决于买入期权的行使价。 让我们考虑一种假设情况,以理解delta在期权交易中的重要角色。如果交易员在1.14处拥有0.5的Delta的欧元期权...
首先，我们要理解Delta对于期权交易的基石性作用。Delta衡量的是期权价格相对于基础资产价格的敏感度。对于看涨期权（CALL OPTION），Delta值在0到1之间变化；看跌期权（PUT OPTION）则在0到-1之间，具体取决于行使价。以欧元期货合约为例，如果交易员持有在1.14处，具有0.5 Delta的欧元期权（看涨期权）...
Gamma is a popular term used in option trading. Usually, it is a term that describes the rate of change in an option’s delta in the context of options trading. Gamma measures the rate of change in an option’s delta over time, whereas delta represents the rate of change in an option...
Each time the market goes down the delta of the put option becomes more negative. When a trader reports that he is short gamma, this means that he has a portfolio with negative gamma. Since gamma is changing all the time, the delta change will be according to the average gamma in a ...
For call options, it occurs when the underlying asset's market price is higher than the option's strike price. For put options, it occurs when the underlying asset's market price is lower than the option's strike price. Traders can increase their return by exercising or selling these option...
在如此动荡的市场,如何更有效的管理仓位对冲以及更好理解如何交易这个市场是现在很多很多投资者很头疼的问题。这篇文章我会从期权,做市商,以及一些我对这个市场的个人看法的角度来解释一下今年市场内大量的看跌期权(Put Option)是如何“带崩”美股市场的。
A short gamma position is any option position with negative gamma exposure. A position with negative gamma (short gamma) indicates the position’s delta will decrease when the stock price rises, and increase when the stock price falls. Short call and short put positions have negative gamma ...
Each time the market goes down the delta of the put option becomes more negative. When a trader reports that he is short gamma, this means that he has a portfolio with negative gamma. Since gamma is changing all the time, the delta change will be according to the average gamma in a ...
The reverse is true if the option is a put instead of a call. If a trader buys a put, a dealer typically sells the put. This means the dealer is long or has positive delta and gamma exposure. If the stock begins to fall, the dealer loses money. To neutralize their positive gamma ...
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