Counting the Greeks :-)

Discussion in 'Options' started by earth_imperator, Nov 4, 2022.

  1. A question to experts in Options Greeks:

    For cumulating the Delta's of a multi-leg position (consisting of especially short and long puts) I'm calling the following in my programming language (C/C++) for each leg:
    SumDelta += Leg.Delta * Leg.Qty * (Leg.fLong ? -1.0 : 1.0);
    where SumDelta initially is of course 0, and fLong says whether that leg is a long or short, Qty is always >= 0.

    Can one use this same algorithm also for the other Greeks (Vega, Gamma, Theta, Rho), or are there differences?
     
    Last edited: Nov 4, 2022
  2. M.W.

    M.W.

    All Greeks for the same underlying are additive.

     
    earth_imperator likes this.
  3. Thanks, I think this was it that I hoped to hear as a confirmation of my assumption :)