option greeks
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Creating a structured product
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%...- Soumya Sahoo
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- option greeks option-delta option-instruments
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- Forum: P1.T3. Financial Markets & Products
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Option Greeks
I.Portfolio Manager Sally has a position in 100 option contracts with the following Greeks, theta=+25000 , vega=+330000 and gamma = -200 . Which of the following additional trades, utilising generally ATM options will neutralise (hegde) the portfolio with respect to theta, vega and gamma ? 1...- Priyanka_Chandak23
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- gamma option greeks theta vega
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- Forum: P1.T4. Valuation & Risk Models