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
34. Put Call Parity
35. Options Arbitrage
36. Conversion-Reversal Arbitrage
37. Box Spread
38. Conclusion

Introduction To Greeks

For a successful options trade, there are a number of forces which have to work in the favour of the trader. These forces are called ‘The Option Greeks’. These forces influence the option prices in real time. These forces not only affect the premiums but also affect each other.

The sensitivity of option premium to each of these factors is known as Option Greeks.

These Greeks are Delta, Gamma, Theta, Vega and Rho. Option Greeks gives us a thorough understanding of a portfolio’s position. We have already learnt the basics of the Option Greeks in our Basics of Options Module. Let us now elaborate on the same.

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