Comment on Greek Interactions

Karthik Rangappa commented on 24 Jan 2016, 04:24 AM

Avinash – not sure if you can take averages here. Can I suggest something? Please try this calculation over and over again for few options…you will get a sense of this.

Typically this is how it works, and I’m sure you already know this –

Delta – x
Gamma – g
Premium – p
This means for every 1 point change, premium changes by x units.

Also after every point change you need to reset the delta value based on gamma. Measning for every 1 point change, old Delta would change from x to (x-g).

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