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

Theta And Time To Expiry

Theta with respect to change in days to expiry:

Spot constant @ 16500, volatility 17%

Theta is higher for shorter term options, especially ATM options. This is pretty obvious as such options have the highest Time value and thus have more premium to lose each day.

Conversely, Theta goes up dramatically as options near expiry have the highest time decay.

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