pgrace0154 0 Report post Posted November 1, 2012 Can anyone help me understand the interaction of Greeks, IV and Delta because I can not with my understanding explain why the Nov 16 146 PUT long should be down $1.48 as I write this. Thanks, Pat Share this post Link to post Share on other sites
pgrace0154 0 Report post Posted November 1, 2012 I forgot to say I'm talking about SPY Share this post Link to post Share on other sites
Marco 223 Report post Posted November 1, 2012 well I don't know where SPY spot and implied vol were when you wrote this, but with market up a lot and IV down a lot today that put will have lost quite a bit of value. 3 Greeks working against you today: a) delta You can estimate that loss if you take the previous days delta of the option and multiply it with todays $ change in SPY (however November options will also have quite a bit of gamma so that delta will have changed a lot over the 1% move in SPY today and also just with passage of time b ) theta Your option will also have lost the theta over night (another number that you should be able to get from you trading software if you have a half way decent broker) c) vega with IV down today your option will have lost the vega (again look at your trading software for the number) * the change in IV points today stick the numbers in an option pricer (like this one: http://www.option-price.com/ ) and you should be able to come up with the change in price Share this post Link to post Share on other sites
