## Comment on Greek Interactions

Avinash – I’m a bit confused about your calculation, 2 Put options each with 0.4 Delta adds up to a total delta of 0.8. So for every 1 point up move your position losses 0.8 Deltas…so for 90 points up move you are likely to lose 72 points from the total premium i.e 98. So by EOD the premium value is likely to be ard 26…i.e 98 – 73 . How did 0.6 delta feature here?

Anyway, before you understand why this does not work well for Feb, you need to understand why this worked for Jan.

It worked because we are close to Expiry, theta is peaking (remember theta acceleration), and as we approach expiry Volatility has a lesser impact on positions ass compared to the effect on premiums at the start of the series.

Since Feb is too far and there is ample time to expiry, Volatility has a far greater impact. So besides Delta, the Vega is also playing a drag on premiums.

Also, the next chapter in Options module includes a simple arbitrage example, you may want to check that for Feb!