Keskustellaan optioista

Sure, they prob­a­bly know, or can eas­ily learn, the ba­sics: puts and calls; in-the-money and out-of-the money; HV (his­toric volatil­ity) and IV (im­plied volatil­ity); the naked and the spread.

But what about Vomma……

If the term vomma is Greek to you, that is be­cause it lit­er­ally is. Op­tions traders use var­i­ous Greek let­ters and terms to de­scribe the sen­si­tiv­ity of an op­tion’s price to var­i­ous fac­tors, such as volatil­ity in the un­der­ly­ing se­cu­rity. The most ba­sic terms—delta, gamma, theta, vega, and rho—are re­ferred to as “ma­jor Greeks.
” Vomma, on the other hand, is known as a mi­nor Greek be­cause it pro­vides in­sight into vega.

Delta is a ra­tio that mea-sures how much an op­tion’s price is ex­pected to change for every $1 shift in the price of the un­der­ly­ing se­cu­rity. Deltas on puts (which give the owner the right to sell a se­cu­rity at a cer­tain price) can range from 0 to neg­a­tive 1; on calls (which give the owner the right to buy a se­cu­rity at a cer­tain price) they are 0 to pos­i­tive 1. If a call has a delta of 0.50 and the price of the un­der­ly­ing stock rises $1, the price of the call will go up, the­o­ret­i-cally, about 50 cents, as long as every ­thing else re­mains con­stant.

Delta can of­fer a rough gauge on the odds an op­tion will wind up in the money at ex­pi­ra­tion. (A call op­tion is in the money if the mar­ket price is above the strike price; a put op­tion is in the money if the mar­ket price is be­low the strike price.) For ex­am­ple, a trader buy­ing a far out-of-the-money put with a neg­a­tive 0.05 delta has a 5% chance of the op­tion ex­pir­ing in the money. Not a good bet.

Delta neu­tral is a com­mon phrase. It means a com­bi­na-tion of op­tion deltas add up to zero, and the com­bined op­tions will move, for a time, 100% in lock­step with the un­der­ly­ing stock. It’s very use­ful for hedg­ing a stock’s move­ment.

Gamma This one is tougher; it mea­sures the rate of change in the delta of an op­tion for every one-point move in the price of the un­der­ly­ing se­cu­rity. What does this mean? An oft-used anal­ogy is that delta is an op­tion’s speed, and gamma re­flects ac­cel­er­a­tion, a nu­ance that may be more im­por­tant to pro­fes­sional traders hedg-ing large port­fo­lios.

Gamma is small when an op­tion is deep in or out of the money. It is at its largest when the op­tion is near or at the money.

Re­tail traders may of­ten hear ad­vanced traders men­tion gamma scalp­ing, which is, very broadly speak­ing, ad­just­ing an op­tions po­si­tion fre­quently with a pri­mary goal of not los­ing money due to theta (see be­low).

Theta mea­sures the rate of change in an op­tion’s value due to time, and is usu­ally ex­pressed as a neg­a­tive. For ex­am­ple, if an op­tion’s theta is mi­nus 0.20, an in­vestor can ex­pect its pre­mium to de­cline, or de­cay, 20 cents a day, if every­thing else re­mains con­stant. The rate of de­cay tends to ac­cel­er­ate as the op­tion nears ex­pi­ra-tion.

Op­tion writ­ers, or sell­ers, col­lect theta when they open a trade, by re­ceiv­ing a small cash pay­ment, a pre­mium, for the risk they are tak­ing on the trade, not un­like how in­sur­ance firms col­lect pre­mi­ums.

Vega, which isn’t a Greek let­ter but one of the Greeks, none­theless, mea­sures an op­tion’s price sen­si­tiv­ity—how much it could change—in re­sponse to im­plied volatil­ity changes in the un­der­ly­ing se­cu­rity. Vega is a higher num­ber for long-dated op­tions than for those ex­pir­ing soon; long po­si-tions will be pos­i­tive, how­ever, and short po­si-tions will be neg­a­tive.Vega is use­ful for hedg­ing against im­plied-volatil­ity changes; changes in vega are mea-sured by the afore­men-tioned vomma, a mi­nor Greek, (a Pyrrho not a Plato, you might say).

Per­haps more use­ful is this trad­er’s tip: If the vega is smaller than the op­tion’s bid-ask spread, then the spread isn’t com­pet­i­tive.

RHO This comes in last, and for good rea­son. It mea­sures the ex­pected change in an op­tion’s price for every one-per­cent­age-point change in in­ter­est rates. Con­sid­er­ing in­ter­est rates have pretty much dis­ap­peared, no one tracks it these days. [tilanne on alkanut muuttua 2/2022].

The above is in­tended to show new traders how much they may not know about the art and sci­ence of op­tions trad­ing, a type of in­vest­ment (sort of) where smart peo­ple some­times get wiped out (and mint mil-lions).

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