Stochastic Models and Processes · 13. novembre 2023
In the Black-Scholes formula, Δ is the option delta, showing the price change of a call option for a $1 change in the stock price. Δ equals N(d1), where N is the cumulative normal distribution function, and d1 factors in the stock price, strike price, time to expiration, risk-free rate, and volatility.
#OptionsTrading #Delta #BlackScholesModel
Mathematical Principles and Quantitative Finance · 19. août 2023
Explore the connection between Tesla's advanced speed regulator and the concept of gamma neutrality in options trading. While delta signifies the speed (akin to an option's price movement relative to its asset), gamma represents acceleration, indicating how delta evolves. Achieving gamma neutrality in trading parallels maintaining both speed and acceleration in a Tesla, ensuring a predictable and smooth drive.
Pricing and Valuing Financial Instruments · 10. juin 2023
In the world of foreign exchange (FX), two indicators help traders decode market mood: Risk Reversal (RR) and Butterfly (BF) volatilities. Imagine RR as a compass, pointing to bullish or bearish winds by comparing the price expectations of currency going up (call options) to it going down (put options). On the other hand, BF is like a barometer, forecasting calm or stormy weather by measuring the expected price stability of currencies.
Pricing et Valorisation d'instruments financiers · 10. juin 2023
Les risk reversals (RR) et les volatilités butterfly (BF) offrent des indications clés sur le sentiment du marché FX. Le RR mesure la différence de volatilité implicite entre calls et puts, reflétant un biais haussier ou baissier. La BF quantifie les attentes de volatilité autour du niveau ATM, révélant des périodes d’incertitude ou de mouvements de prix.