Comment on Greek Interactions

Avinash Punjabi commented on 23 Jan 2016, 07:21 AM

Dear Karthik,
Thanks for the quick reply.
The reason why I calculated the combined DELTA as 0.6 is like this.
NIFTY at 7346 ,DELTA of 7300PE is 0.4, as NIFTY moves to 7400 DELTA becomes 0.3, further up 36 points it would be less than 0.3 , so instead of calculating DELTA for every 50 points change in NIFTY I took an average of 0.3 per lot X 2 lots = 0.6. So 90 points X 0.6 = 54 points drop in PE combined premium. The profit worked out to be diff of DELTA ie 0.4 X 90 =36 points, 1-2 points here and there.
But this thing about VOLATILITY having a greater impact on long duration options I was not aware of.
I do not know whether I am correct, but the results at EOD worked out that way. Kindly advise.
FOR Yesterday what would be a better HEDGE trade for FEB series I would like an example.

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