Optionshare 選擇幫

標題: charm: 隨著日復一日,delta的變化 [打印本頁]

作者: sec2100    時間: 2020-1-5 20:43
標題: charm: 隨著日復一日,delta的變化
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.





歡迎光臨 Optionshare 選擇幫 (https://optionshare.tw/) Powered by Discuz! X3.2