Don’t ever feel that you are very good. The second you do, you are dead.
Paul Tudor Jones

Optionshare 選擇幫

查看: 467|回復: 0

charm: 隨著日復一日,delta的變化

發表於 2020-1-5 20:43:08 | 顯示全部樓層 |閱讀模式


您需要 登錄 才可以下載或查看,沒有帳號?立即註冊


As another example, say a trader places a delta-hedged call option on Friday with a charm of 1 and 15% delta; they are short 15 lots of the spot product for every 100 calls they own. By Monday at 8 a.m., the call delta may have decreased to 12.5%; two and a half days have passed multiplied by the charm of 1. The trader’s delta hedge is no longer accurate; they are short too much of the underlying security. If the spot market opens higher on Monday, the trader has to buy back deltas to cover his position and reestablish a delta-neutral stance. Special attention is needed around a charm’s expiration time, as it may become very dynamic.

使用道具 舉報

您需要登錄後才可以回帖 登錄 | 立即註冊


站長信箱|Archiver|手機版|小黑屋|Optionshare 選擇幫.  

GMT+8, 2020-1-19 05:18 , Processed in 0.127209 second(s), 23 queries .

Powered by Discuz! X3.2

© 2001-2013 Comsenz Inc.

快速回復 返回頂部 返回列表