Understanding theta
Leave your thoughtsIntroduction In some previous posts I had explained the concept of delta and gamma within an option trading context. One... View Article
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Understanding gamma – part 4
Leave your thoughtsThis is the fourth post in a series looking at elements of option trading and option risk management. In the... View Article
Understanding gamma – part 3
Leave your thoughtsIn the previous posts we had looked at a delta hedged short call position, which we argued was a way... View Article
Understanding gamma – part 2
Leave your thoughtsGamma is defined as the rate of change of delta with respect to a given change in the underlying price. ... View Article
Understanding gamma – part 1
Leave your thoughtsIntroduction Over the last few posts we have spent a fair amount of time looking at delta as a measure... View Article
Option risk management: Part 5 – What do we mean by volatility?
Leave your thoughtsIn the previous post we looked at the payoff that combined a short call position with a delta hedge such... View Article
Option risk management: Part 4 – A delta hedged option position
Leave your thoughtsIn the previous post we had sold 100 ATM call options on Tesla and hedged the delta exposure by purchasing... View Article
Option risk management part 3: Delta hedging
Leave your thoughtsLet’s start with a quick recap of a couple of key concepts. Suppose you have bought a 3 month ATM... View Article