Option Greeks

Module Units

- 1. Introduction To Greeks
- 2. Black Scholes Model
- 3. Introduction To Delta
- 4. Delta’s Relationship With Spot And Strike Price
- 5. Delta And Time To Expiry
- 6. Delta And Volatility
- 7. Delta Adds Up
- 8. Delta Hedging
- 9. Introduction To Gamma
- 10. Gamma’s Relationship With Spot And Strike Price
- 11. Gamma And Time To Expiry
- 12. Gamma And Volatility
- 13. Important Properties Of Gamma
- 14. Introduction To Theta
- 15. Theta’s Relationship With Spot And Strike Price
- 16. Theta And Time To Expiry
- 17. Theta And Volatility
- 18. Important Properties Of Theta
- 19. Rho
- 20. Introduction To Vega
- 21. Vega’s Relationship With Strike Price
- 22. Vega And Time To Expiry
- 23. Volatility
- 24. Volatility And Normal Distribution
- 25. Types Of Volatility
- 26. The VIX Index
- 27. Volatility Smile
- 28. Delta Neutral Hedging
- 29. Calendar Spread
- 30. Diagonal Spread With Calls
- 31. Diagonal Spread With Puts
- 32. Gamma Delta Neutral Option Strategy
- 33. Gamma Scalping Strategy
- 34. Put Call Parity
- 35. Options Arbitrage
- 36. Conversion-Reversal Arbitrage
- 37. Box Spread
- 38. Conclusion

# Introduction To Delta

Let us start with the first option-greek ‘**Delta**.’

Delta measures the change in option price for a unit change in the price of underlying. So, if an option has Delta 0.47 it shows that if the underlying price changes by ₹1, the option price will change by ₹0.46.

Delta varies from a range of -1 to 1. For call options, delta is 0 to 1 and for put options, delta ranges from -1 to 0.

**Let’s discuss some important points with respect to Delta. **

- The Delta of Call Option is always positive and the Delta of Put Option is always negative.
- When you buy Call Option, Delta is positive and when you sell Call Option, Delta is negative.
- When you buy Put Option, Delta is negative and when you sell Put Option, Delta is positive
- When you buy Call Option, Positive Delta multiplies by Positive quantity (quantity is considered positive when we go long on option), hence gives positive portfolio Delta. This signifies that
**buying Call Option means Bullish position.** - When you sell Call Option, Positive Delta multiplies by negative quantity (quantity is considered negative when we go short on option), hence gives negative portfolio Delta. This signifies that
**selling Call Option means Bearish position.** - When you buy Put Option, Negative Delta multiplies by Positive quantity, hence gives negative portfolio Delta. This signifies that
**buying Put Option means Bearish position.** - When you sell Put Option, Negative Delta multiplies by Negative quantity, hence gives Positive portfolio Delta. This signifies that
**selling Put Option means Bullish position.**

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