Help with Option Greeks

#1
I am starting to trade options... can someone give me historical graph on how option greeks change versus stock prices.

For example, I would like to know how Delta changes each day and what is the impact of breakouts etc. in Delta.

I have learned theory but do not have access to historical options data so if someone can give practical examples/charts it can help much. Thanks.
 

PGDIMES

Well-Known Member
#2
I am starting to trade options... can someone give me historical graph on how option greeks change versus stock prices.

For example, I would like to know how Delta changes each day and what is the impact of breakouts etc. in Delta.

I have learned theory but do not have access to historical options data so if someone can give practical examples/charts it can help much. Thanks.
Delta doesn't change with time... theta does... Plz understand the theory first. You can use Option Oracle software from samoasky.com for free greek calculation.
 

PGDIMES

Well-Known Member
#4
I was reading a book and it says delta may change with time. There is an strategy called 're-hedging' based on that.
Will you plz explain your statement? Plz define delta first.
 
#5
Delta measures the sensitivity of the Option price to the change in the price of the underlying. For example, if Satyam is currently quoting at Rs 219 and the Satyam 220 Call carries a Delta of 0.50, this implies that for every Re 1.00 rise in the price of Satyam, the price of the 220 Call will rise by Rs 0.50. A similar movement is indicated in the case of a fall in the price too.
.......................................................
Does the Delta change?
The Delta certainly changes and quite rapidly at times. It primarily depends on the movement in the underlying (Satyam in our example). It also depends to a smaller extent on the number of days to expiry and the volatility in the market.
For example if Satyam moves down from Rs 219 to Rs 215 on the same day (i.e. with 23 days to expiry), the above table will appear as under:
Strike Position Delta Volume Portfolio Delta
220 Call Buy 0.45 2,400 1,080
230 Call Buy 0.32 1,200 384
220 Put Buy -0.55 3,600 -1,980
Total -516
As you can now see, a small movement of Rs 4 in Satyam (from Rs 219 to Rs 215) has changed your portfolio Delta from -96 to -516.
Delta doesn't change with time... theta does... Plz understand the theory first.
Do you mean to say that individual option chain Delta remains constant, but the portfolio delta changes with time?
 

PGDIMES

Well-Known Member
#6
If you are talking about delta decay, it's not that much affect ITM options... The most important factors that affect options are theta, vega and delta... I generally consider 0.55 to 0.7 range for ATM options, depending upon the expiry date... The value of option changes so fast, it's difficult to get proper fills in deep ITM options... Wish you a happy options trading journey... :thumb:
 
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Taurus1

Well-Known Member
#7
Portfolio(shares) delta is always calculated as 1, only option delta changes.
What book have you quoted from that changes portfolio delta? :confused: :eek:
 

deadbrain

Well-Known Member
#9
Can anyone please send a link or pm me to help learn the use of samosky (or option greeks) especially in intraday settings?
 

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