Delta Analysis

Discussion in 'Options' started by stoic, Oct 22, 2010.

  1. As I sit here waiting for the Fed, here are some numbers:

    TYZ0 (10 US Treasury future)
    TYX0C 125 (125 strike call option on said future)

    9/20: TYZ0 = 124.40625, TYX0C = 0.81, IV = 7.357%
    9/21: TYZ0 = 125.375, TYX0C = 1.19, IV = 6.794%

    On 9/20:
    Delta was worth about 0.42 options points per 1 pt change in spot
    Gamma was worth about 0.07 options points per 1 pt change in spot
    Vega was worth about 0.14 options points per 1% change in IV
    Theta was worth about -0.02 options points per day

    So, on 9/21, all the changes added up to about +0.39 options points, and the actual option changed by +0.38 points.

    Given that the greeks tell you about sensitivity to an instantaneous change in variables (when in real life these changes were spread over an entire day), I would say B-S does a very good job.

    Actually, just using delta got you really close. Not sure what the OP is going on about.
     
    #71     Nov 3, 2010