Underlying Price Exercise Price Days Until Expiration Interest Rates % Dividend Yield % Volatility % Rounding Graph Increment Call OptionPut Option Theoretical Price 3.019 2.691 Delta 0.533 -0.467 Gamma 0.055 0.055 Vega 0.114 0.114 Theta -0.054 -0.041 Rho 0.041 -0.041...
Gamma就是Delta随标的价格变化而变化的幅度。当ETF价格变化0.001元时，Delta变化0.001*Gamma。假设对冲...
i.e., the delta, gamma, theta, vega, and rho of an option. Along with the calculation of the option Greeks, the option calculator can also be used to calculate the theoretical price of an option (also called fair value of
ExpiryStrikePut/CallQuanCostSideTPriceVolTValueDeltaGammaThetaVegaRhoHideX Profit/Loss Portfolio Totals Subscribers can save up to 8 legs Auto Calculate Data is delayed from December 10, 2024. You canget started for freeto get the latest data. ...
The Option Greeks: Delta, Gamma, Theta, Vega, and RhoBecause the price of options depends on the price of the underlying asset and because options are a wasting asset due to their limited lifetimes, option premiums vary with the price and volatility of the underlying asset and time to expira...
Again, delta is simply the amount an option price will move based on a $1 change in the underlying stock. But looking at delta as the probability an option will finish in-the-money is a pretty nifty way to think about it.Gamma
Option Price Calculator to calculate theoretical price of an option based on Black Scholes Option pricing formula:Spot Price Strike Price Volatility % Risk Free Rate % p.a. Time To Expiry Days Call Option Put Option Option Price Delta Gamma Vega Theta Rho ...
This page explains the Black-Scholes formulas for d1, d2, call option price, put option price, and formulas for the most common option Greeks (delta, gamma, theta, vega, and rho). Black-Scholes Inputs According to the Black-Scholes option pricing model (its Merton's extension that accoun...
- calculation of risk parameters: delta, vega, theta, gamma, etc - includes the implied volatility calculation mode - builds a stress-table and stress-graph for the option - sending of detailed calculation and results table to your email or printer ...
gamma hedge中用到的组合是一组Option的组合,因为Option的价格相对于股票价格来说是非线性的,反映到图形上看就是曲线,能提供gamma。 综上所述,通过delta hedge 和 gamma hedge,我们就完全抵御了股价未来不确定所带来的风险,而且可以在较长时间间隔内进行hedge。