option-delta

Position Greek = (+/-) Quantity * Percentage Greek. If we are short a call option, then we are short position delta and short position gamma. If we are short a put option, then we are long position delta (ie, negative quantity * negative delta = positive) and short position gamma (ie, negative...

To dynamically delta hedge is to rebalance the hedged position when the stock price moves (and therefore its delta moves, also). In this example, we rebalance once per week. We assume you are the market maker who writes (that is, sells) 100,000 call options where each option has a delta of...

Option delta is sensitivity of the option's value to a change in the underlying stock price. As illustrated, a call option delta of 0.61 implies that we expect the option's value to increase by $0.61 if the stock price increases by $1.00. Call option delta is bounded by (0, 1.0) and put option...

A portfolio contains equally weighted stocks (Alphabet, Boeing, Cummins and Dow Chemical) with a nominal of 100mil. The required performance is as follows. Avg underlying fund performance: >160% - No profit no loss 130 to 160% - flat 60% profit 100 to 130% - 2x of the long performanc 60 to 100%...