no analysis of greeks when trading options

Discussion in 'Options' started by nixodian, Aug 22, 2010.

  1. l almost exclusively use candle charts (and dont analyze greeks ) for risk management and to set up my option trades, usually credit vertical spreads, l do look at delta, and am aware of gamma risk, when options are near expiration but otherwise dont look at the greeks, am l missing out on something / at a disadvantage to someone who analyzes greeks for eg?

    l use IB as my broker, almost always IB will give u a price worse than mid price for the credit spreads on OEX XEO index options.
    is your broker any better?
     
  2. dmo

    dmo

  3. spindr0

    spindr0

    I'll probably catch flak for this but I don't think that your everyday retail investor who employs basic positions really needs the Greeks. If you're doing a covered call (or equivalent) or a vertical and employing a stop, it's pretty clear where that is.

    OTOH if one has a combination of many CC's, spreads, etc and one wants to manage the overall risk of the portfolio then it's a different story.
     
  4. tlow

    tlow

    You gotta look at volatility, especially in the past couple of years. I don't think one has to go crazy with the greeks, but at the very least look at vega. Even if you are doing covered calls and spreads, both could easily loose money if vega or the skew goes against you by a large portion.
     
  5. rew

    rew

    Even if you're just a directional trader you need to keep volatility (and thus vega) in mind. Suppose an equity has just got whacked down hard on some bad news. You decide this was an overreaction and expect it to pop back up at least half way to where it used to be. So you buy a call. Oops -- you bought that call at just the point where the IV was highest. You now watch your prediction come true (the stock goes up) while you see the value of your call drop. Using vega you could estimate how much you'd lose as the IV drops back to more typical levels. A better bet might have been to take advantage of the high volatility by selling a put spread, or to wait for the IV to settle down before buying a call.
     
  6. Many responses above seem to be missing OP's statement that he uses charts. A lot of these effects would show just fine on a chart.

    Now the real question is "what do the greeks tell you that isn't on a chart?"
     
  7. sws2179

    sws2179

    Greek Vega can tell you how fast the option price changes corresponding to the change in stocks price; the smaller the vega the slower the change.
     
  8. heech

    heech

    If you are trading options with expectations of holding to expiration, or you'll only rebalance your position at some extreme (ie: deep ITM/OTM)... then greeks are absolutely unimportant to you.

    Greeks are only important if you need to understand how the value of your option portfolio may change *before* expiration.
     
  9. spindr0

    spindr0

    CC writers are generally selling the call for the premium and usually aren't concerned with vega. The underlying is their issue and as long as it cooperates, they don't care how high or low IV goes as long as the call expires and they get to write again and again....

    The OP is doing verticals. Since they're directional, again the underlying is the concern. Granted that IV can affect the value of the spread but to some degree, the IV change of the short leg offsets that of the long leg.

    IMHO, the Greeks are far more useful in complex combo positions where the position mutates with adjustments.
     
  10. Are you joking or are you serious?
     
    #10     Aug 23, 2010