Options Greeks: Theta, Delta, Vega, Gamma

[Kim]

The following video shows how the Theta impacts options pricing. It examines few live examples of different options strategies.

 

 

Download video and slides:

 

Options Greeks - The Theta.wmv

 

Options Greeks Theta.pptx

 

 

[Kim]

The following video shows how the Vega impacts options pricing. It examines few live examples of different options strategies.

 

 

Download video and slides:

 

Options Greeks - The Vega.wmv

 

Options Greeks Vega.pptx

[Kim]

This video describes Gamma and shows how Gamma impacts options pricing. It examines few live examples of different options strategies.

 

 

Download video and slides:

 

Options Greeks - The Gamma.wmv

 

Options Greeks Gamma.pptx

 

[Kim]

This video describes Delta and shows how Delta impacts options pricing. It examines few live examples of different options strategies.

 

 

Download video and slides:

 

Options Greeks - The Delta.wmv

 

Options Greeks Delta.pptx

[Pirol]

Hi,

at 6.50 in the Gamma video we see the list of Vega positive strategies and Vega negative strategies;

shouldn' it be Gamma positive and negative stategies?

Pirol

[Kim]

Yes.

[Pirol]

Hi all,

1. i have searched vomma in SO.com and found just 1 answer. 
2. Why don't we use the higher order greeks.
3. Is it too difficult?
4. Gamma is a second order greek and is sometimes used, but the others like vomma (first derivative of vega)
5. To learn more about 2nd order greeks what do you suggest (sites, ...).
6. Do i have to study in detail the Black-Scholes equation?

There is a site SJOptions.com where the higher greeks are succesfully used, they say "we implement 2nd Order Greeks to

produce better results" http://sjoptions.com/portfolios/what-makes-us-unique/

Pirol

[clipsnation183]

3 hours ago, Pirol said:

Hi all,

1. i have searched vomma in SO.com and found just 1 answer. 
2. Why don't we use the higher order greeks.
3. Is it too difficult?
4. Gamma is a second order greek and is sometimes used, but the others like vomma (first derivative of vega)
5. To learn more about 2nd order greeks what do you suggest (sites, ...).
6. Do i have to study in detail the Black-Scholes equation?

There is a site SJOptions.com where the higher greeks are succesfully used, they say "we implement 2nd Order Greeks to

produce better results" http://sjoptions.com/portfolios/what-makes-us-unique/

Pirol

Not an expert in second order greeks, but I think vomma would matter more if you trade naked strangles/straddles and concerned about the margin expansion. Since we only trade defined risk, explosions in vega/vomma won't change our margin. That being said, we deal with the standard 4 greeks a lot, especially with the earnings trades.