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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 Option Trading Strategy
- 34. Put Call Parity
- 35. Options Arbitrage
- 36. Conversion-Reversal Arbitrage
- 37. Box Spread
- 38. Conclusion
Theta’s Relationship With Spot And Strike Price
Theta with respect to change in spot price:
Assuming the strike to be 16500, days to expiry 17 days and volatility 17%
When the stock price is very low, Theta is close to zero. For an ATM option, Theta is large and negative. As stock price increases,Theta again tends to move towards zero, but stays negative.
Theta with respect to change in strike price:
Assuming spot to be 16500, days to expiry 17 and volatility 17%
Value of Theta increases as the option moves from OTM to ATM and decreases as the option moves from ATM to ITM. In other words, Theta is at its peak at ATM and decreases as Nifty moves away.
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