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Pearson The Financial Times Guide to Options_2

Hãy nhớ rằng vị trí có một tùy chọn dài gamma tích cực, tiêu cực theta và tích cực Vega. Khi thời gian trôi qua, nó mang lại lợi ích nhiều hơn từ biến động giá, chi phí trong thời gian phân rã, và nó mang lại lợi ích ít hơn từ sự gia tăng biến động ngụ ý. | 168 Part 3 Thinking about options The exceptions to Table 15.3 are the deep in-the-money and far out-of-the-money options such as the December 320 calls and puts and the December 440 calls and puts. When these options have 30 DTE most of their time premium has been expended and changes in the Greeks are of little consequence except when you re short them . A long options position has positive gamma negative theta and positive vega Remember that a long options position has positive gamma negative theta and positive vega. As time passes it benefits more from price movement it costs more in time decay and it benefits less from an increase in implied volatility. A short options position has the opposite profile with respect to the Greeks. By knowing how the Greeks interact we can evaluate a position from just two variables. Traders often do this with delta and the number of days until expiration. I m long a hundred twenty-delta calls with thirty days out has a very different meaning from I m long a hundred twenty-delta calls with ninety days out . The former call position has a strike price that is closer to the money higher positive gamma greater negative theta and smaller positive vega see Table 15.4 . It indicates that the trader is looking for a large move in the underlying soon. The latter position indicates that the trader is looking for a large eventual move and or an increase in implied volatility. Table 15.4 December Corn options with approx 0.28 deltas December Corn at 380 90 DTE December 420 calls 30 DTE December 400 calls Delta 0.27 Delta 0.28 Gamma 0.006 Gamma 0.011 Theta 5.5 Theta 10.0 Vega 25.0 Vega 21.5 15 The interaction of the Greeks 169 Understandably traders seldom discuss their positions except with their risk managers. Consider the characteristics of the Greeks and the outlook of the traders who have positions opposite to those above. Understandably traders seldom discuss their positions except with their risk managers Comparing options 2 delta .