Chapter 16. Option Sensitivity Measures: The “Greeks” Study Notes contains 28 pages covering the following learning objectives:
* Describe and assess the risks associated with naked and covered option positions.
* Describe the use of a stop loss hedging strategy, including its advantages and disadvantages, and explain how this strategy can generate naked and covered option positions.
* Describe delta hedging for an option, forward, and futures contracts.
* Compute the delta of an option.
* Describe the dynamic aspects of delta hedging and distinguish between dynamic hedging and hedge-and-forget strategy.
* Define and calculate the delta of a portfolio.
* Define and describe theta, gamma, vega, and rho for option positions, and calculate the gamma and vega for a portfolio.
* Explain how to implement and maintain a delta-neutral and a gamma-neutral position.
* Describe the relationship between delta, theta, gamma, and vega.
* Describe how portfolio insurance can be created through option instruments and stock index futures.
After reviewing the notes, you will be able to apply what you learned with practice questions.Shop Courses