1. Option Greeks

Greek

Description

Delta (Δ)

Measures the sensitivity of an option's price to changes in the price of the underlying asset. It represents the expected change in the option price for a $1 increase in the underlying asset's price.

Gamma(Γ)

Measures the rate of change of Delta in response to changes in the underlying asset's price. It indicates how much Delta will change if the underlying asset's price moves.

Theta (θ)

Represents the time decay of an option, measuring the rate at which the option’s value decreases as expiration approaches, assuming all other factors remain constant.

Vega (ν)

Measures the sensitivity of an option’s price to changes in the implied volatility of the underlying asset. Higher Vega means the option price is more affected by volatility changes.

Rho (P)

Measures the sensitivity of an option’s price to changes in interest rates. A higher Rho indicates that the option's price is more influenced by fluctuations in the risk-free interest rate.

  1. Option Portfolio Greeks

Portfolio Greek

Formula

Portfolio Delta

Delta * Number of Contracts * Multiplier

Portfolio Gamma

Gamma * Number of Contracts * Multiplier

Portfolio Theta

Vega * Number of Contracts * Multiplier

Portfolio Vega

Rho * Number of Contracts * Multiplier

Portfolio Rho

Theta * Number of Contracts * Multiplier

  1. Greeks Cash

Greek Cash

Formula

Delta Cash

Delta * Underlying Asset Price * Number of Contracts * Multiplier

Gamma Cash

Gamma * Number of Contracts * Multiplier * 0.01 * (Underlying Asset Price)^ 2

Theta Cash

Theta * Number of Contracts * Multiplier

Vega Cash

Rho * Number of Contracts * Multiplier

  1. Implied Volatility

IV

Definition

IV

Calculate the implied volatility (σ) by inputting the option price, underlying asset price, option strike price, time to expiration, and risk-free interest rate into the Black-Scholes model.

IV Rank (52 Weeks)

IV Rank (52 Weeks) = (Current IV - 1 Year IV Low) / (1 Year IV High - 1 Year IV Low)

IV Percentile (52 Weeks)

The percentile rank of the latest IV value within the IV values over the past year.

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