寻找交易机会:预测波动率 → 波动率到premium的传导机制(model)第一章BSM的价值:I 符合直觉,比如随着到期时间接近,平值期权的gamma会快速上升,在BSM定义的希腊值公式中,能证明这一性质,而这一性质的现实直觉是:delta:胜率;gamma:价格变动对胜率的影响,那么随着ttm的下降,于一章平值期权而言,每个tick的跳动都可能...
Trading Option Greeks, Second Edition 2025 pdf epub mobi 电子书 图书描述 A top options trader details a practical approach for pricing and trading options in any market condition The options market is always changing, and in order to keep up with it you need the greeks--delta, gamma, theta...
What Are the "Greeks" in Options Trading? The "Greeks" are risk measures named after (mostly) Greek letters that indicate how sensitive an option's price is to various factors. The main Greeks are delta (price sensitivity), gamma (rate of change in delta), theta (time decay), vega (vo...
Veteran options trader Dan Passarelli explains a new methodology for option trading and valuation. With an introduction to option basics as well as chapters o..
Read the full-text online article and more details about Scalping Option Gammas: Stuck in a Trading Rut? Scalping Option Gammas Is an Active Option Position Management Technique That Extracts Profits in Midstream Where You Might Have Thought There Weren't Any....
Scalping a unique trading style where a trader tries to make a small profit by buying and selling considerable securities in a short time frame. Now, in this section, we will learn an option trading strategy using one of the option-greeks called ‘Gamma Scalping.’ So, let us begin: As...
Unlock the secrets of options trading with our in-depth guide to Option Pricing Models. Explore the history, different models, and practical examples.
Gamma Neutral Hedging is the construction of options trading positions that are hedged such that the total gamma value of the position is zero or near zero, resulting in the delta value of the positions remaining stagnant no matter how strongly the underlying stock moves. ...
option era for the domestic capital market.This article firstly introduces the principles of long gamma strategy and the process during which profits are realized.Then,we choose some option contracts from the domestic option market to construct long gamma strategies whose return is tested subsequently....
EXCEL Spreadsheet Trading Tool (185KB) EXCEL Spreadsheet Greeks Tool (103KB) EXCEL Spreadsheet Greeks Tool (xlsm version) (86KB)Showing option value, delta, vega, theta, gamma, and rho. This tool lets you explore the Greeks, including when and why you get positive theta for plain vanilla ...