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charm: 隨著日復一日,delta的變化

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發表於 2020-1-5 20:43:08 | 顯示全部樓層 |閱讀模式

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https://www.investopedia.com/terms/c/charm.asp


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.
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