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Table Of Contents

Option Delta
Delta Example
Delta Position
Position Deltas
Delta Hedging
Delta Neutral Positions
Delta Neutral Strategies
The Delta of a Call Option
IBM Option Delta
Worked Exercise: Delta Hedging
A New Look at Delta
Delta: At-the-Money
Delta: In-The-Money
Delta: Conclusions
Option Value
How Time Value Decays
Time Decay (Theta)
Time Value of IBM Option
IBM Option Theta
Option Gamma
IBM Option Gamma
Lab: Leverage
Solution: Leverage
Time vs Leverage
Conclusions: Time Value & Leverage
Volatility Greeks
Vega
IBM Option Vega
Lab: Option Sensitivities
Volatility Types
Historical Volatility
Estimating Historical Volatility
How much historical data?
The Volatility Cone
Volatility is Mean Reverting
Trading the Volatility Cone
Short Volatility Strategies
Forward Volatility
Seasonal Volatility
Intra-Day Seasonality in Bonds
Volatility Risk Management
Gamma Hedging
Vega Hedging
Lab: Greek Hedging
Greek Hedging – Using SOLVER
Solution: Greek Hedging
Summary: Derivatives Risk Management
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Derivatives Risk Management

Derivatives Risk Management

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Published by Anna Kruglova

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Published by: Anna Kruglova on Apr 12, 2012
Copyright:Attribution Non-commercial

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02/05/2013

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