Greeks on jtoll.com
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Recent content in Greeks on jtoll.comHugo -- gohugo.ioen-usFri, 01 May 2015 15:37:57 -0600Systematic Scalping: A reference approach to daily gamma scalping
http://jtoll.com/post/systematic-scalping/
Fri, 01 May 2015 15:37:57 -0600http://jtoll.com/post/systematic-scalping/<p>As a follow-up to my previous article on <a href="http://jtoll.com/post/gamma-scalping-cy/">“Gamma Scalping Cypress Semiconductor”</a>, I take a look at an alternative approach to gamma scalping. The initial article elicited many questions regarding the timing or triggers that prompt delta hedging. In this article I compare our initial, ad lib hedging results with a more systematic strategy that hedges (i.e. neutralizes) the position delta once-a-day at the closing price. This more systematic approach will serve as a reference to evaluate the efficacy of the ad lib approach to hedging.
</p>Love Gamma? Where to find the highest gamma to theta ratio
http://jtoll.com/post/love-gamma/
Fri, 24 Apr 2015 14:38:21 -0600http://jtoll.com/post/love-gamma/<p>If you’re an options traders that likes to get a lot of bang for your buck, here are two things to look for in an underlying security that can help maximize the ratio of gamma to theta in your options position.</p>When To Hedge Delta: Why There's No Good Answer
http://jtoll.com/post/when-to-hedge-delta/
Tue, 03 Mar 2015 15:38:03 -0600http://jtoll.com/post/when-to-hedge-delta/<p>In the course of explaining delta-neutral trading strategies, the question that inevitably arises is when to hedge the net position delta. It’s a great question, but a question with no good (i.e. definite) answer.</p>Theta: A Detailed Look at the Decay of Option Time Value
http://jtoll.com/post/theta/
Fri, 20 Feb 2015 14:08:13 -0600http://jtoll.com/post/theta/<p>Of all the option sensitivities, or Greeks, there is likely none that is obsessed over by beginning options traders as much as theta. It seems that this obsession largely stems from a fear that they might be the sucker that gets stuck owning some rotting, soon-to-be worthless option contract. Given all this obsessing, one might expect a better understanding of theta. Unfortunately, many beginning and experienced option traders alike fall prey to generalities concerning the nature of theta. Hopefully this article will provide some insight into the specifics of time decay.
</p>Volatility, Price and Delta: The Effects of Implied Volatility and Underlying Price on Delta
http://jtoll.com/post/volatility-price-and-delta/
Mon, 26 Jan 2015 12:31:47 -0600http://jtoll.com/post/volatility-price-and-delta/<p>For options traders trying to understand how the value of an option might change given a change to one of the pricing model components, the obvious source for answers are the option sensitivities, otherwise known as the “Greeks”. What’s not as well know is that there are second-order sensitivities that can help explain how these first-order sensitivities change given a change to one of the pricing components. “Vanna” is a second-order sensitivity which describes the change in delta given a change in volatility.
</p>Gamma Scalping Cypress Semiconductor: An Example of Trading a Delta Neutral, Long Gamma Options Position
http://jtoll.com/post/gamma-scalping-cy/
Tue, 20 Jan 2015 16:07:11 -0600http://jtoll.com/post/gamma-scalping-cy/<p>In one of today’s option mentoring sessions, one of the topics covered was the process of gamma scalping a delta neutral, long gamma options position. The client was having some difficulty thoroughly understanding the concept. To better explore the topic, we decided to simulate a very simple long gamma options position in <a href="http://www.bloomberg.com/quote/CY:US">Cypress Semiconductor (CY)</a>, and then to gamma scalp the underlying security, keeping the net position delta neutral.<br />
</p>Duel of the Deltas: Calculating Moneyness via Dual Delta
http://jtoll.com/post/duel-of-the-deltas/
Fri, 12 Dec 2014 11:14:57 -0600http://jtoll.com/post/duel-of-the-deltas/<p>You would have to search long and hard to find an options trader who isn’t familiar with the concept of delta. As one of the most basic option sensitivities, or “Greeks”, delta expresses the relationship between the value of the option and the value of the underlying security. Secondarily, the delta is also sometimes used as an ad lib approximation of the percentage chance that an option will expire in the money. While this can be a quick and useful approximation, it’s not as accurate as many believe it to be. To correctly calculate the percentage chance that an option will expire in the money, one has to calculate what’s known as the “Dual Delta”.
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