understand the greeks in layman's language:
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Meaning :
DELTA : rate of change in price wrt underlying
GAMMA : rate of change in delta (accelerator)
THETA : daily time decay in price of option
VEGA : volatility in price( due to higher demand/supply)
Impact on price of option :
delta - higher the delta higher the rate of
increase/decrease in price of option
gamma- more gamma more speed of delta
Theta - enemy of option buyer...friend of option seller
vega - friend of option buyer...foe of option seller
Trader's ideal position :
option buyer :higher gamma with lower vega (IV)/theta
option seller : lower gamma n higher vega(IV)/theta
catalyst to greeks :
delta - 'distance' of strike price to spot price
...lesser the distance more the delta n vice-versa
Theta- 'time' to expiry
...closer to expiry higher the %theta
Vega- prevailing sentiment in market/demand supply imbalance
nature of greeks :
** all option greeks are variable...(except delta of stock/future ...always 1/-1)
popular terminology :
short gamma : sell option( whether call or put or both)
Long gamma : buy option( whether call or put or both)
Long vega : buy option( whether call or put or both)
short vega : sell option( whether call or put or both)
Delta neutral : option position having zero or closer to zero delta
gamma scalping : offset the time decay thru scalping price fluctuation by keeping delta neutral in long option position
free website :
opstra.definedge.com
snapalpha.capitalmind.in/stratoptions
free/paid app :
@Quantsapp
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