Following the theoretical option price you can find the data on Greek values. As of today Nifty spot is 8085, and the closest ATM option is 8100. As we had discussed in the previous post, the ATM option should have a delta of approximately 0.5. In fact, the calculator is telling us th...
Therefore the Option Greek’s ‘Delta’ captures the effect of the directional movement of the market on the Option’s premium. The delta is a number which varies – Between 0 and 1 for a call option, some traders prefer to use the 0 to 100 scale. So the delta value of 0.55 on 0 ...
And with this I hope you have developed a fair understanding on the very first Option Greek – The delta. The Gamma beckons us now. Key takeaways from this chapter The delta is additive in nature The delta of a futures contract is always 1 Two ATM option is equivalent to owning 1 futur...
The moneyness of an option contract is a classification method wherein each option (strike) gets classified as either – In the money (ITM), At the money (ATM), or Out of the money (OTM) option. This classification helps the trader to decide which strike to trade, given a particular ci...
It is in our list of things to do but will take sometime however in next week release we are giving option calculator on Pi itself. Reply pi says: April 1, 2015 at 2:16 pm Hi NK, At the outset, i would definitely congratulate/thank the whole team for putting up a good trading...
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It is now time to steer back to the main topic – Option Greek and in particular the 4th Option Greek “Vega”. Before we start digging deeper into Vega, we have to discuss one important topic – Quentin Tarantino ☺. I’m huge fan of Quentin Tarantino and his movies. For people ...
(Nifty in the above example) on the expiry day will gravitate towards that point at which option buyers will feel the maximum pain, basically a point where the maximum number of options, both calls and puts value could become zero (worthless) on the expiry day. To calculate this we need ...