Heatmap is an interesting graph provided in R language, it visually demonstrates data features of a matrix. I plotted the attached heatmap for...
I want to develop a tool for risk management of options portfolio, as have seen several posts here and other forums about this. Just say the...
Yes you still need to bet on some specific risks if you want to earn from market, bet on the underlying price directional movement, or bet on the...
Agree with newwurldmn and TSLexi. The greeks and most related models can not make sure the participant make money, but they help us to avoid loss...
From the portfolio's perspective: Delta : long call is positive, long put is negative; vice versa for short call and short put. Gamma & Vega :...
This is the delta-gamma-vega-theta approximation pnl for option portfolio. It is less compute resource consuming than fully revaluation the...
(2) Then seems the sell side MM's trading is much complex than the buy side, lots complicated models they have to involve in. Besides, the...
Apart from delta and gamma, other greeks like vega and theta are also primary risk? What are the secondary risks for option? Spreading you...
Thanks for the replies. sle, then how about risk management for the option tradings. e.g. we usually calcualte var against price for the cash...
Lots options strategies focus on the volatility. E.g. Long a straddle to gain from volatility rallying, or short a straddle to gain when...
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