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# Stock futures greeks

Discussion in 'Financial Futures' started by NHS, Feb 9, 2010.

1. ### NHS

I want to combine stock options and stock futures and I was looking for input on how to set the values for the Greeks. For stock options I can caculate the greeks. Regadring stock futures I understand that delta should be 1, theta should 0, Vega should be 0, but what about Rho?

Thanks for any input

2. ### Signate67

My take on your question:
Because your stock options are not futures options, then if you want to compare apples with apples then you cannot assume what you have stated, but rather:-
Delta of the future will always be a fraction more than 1, this is a function of time to expiry of future and level of interest Rates.
Gamma will be zero.
Theta will be negative.
Vega will be negative and
Rho will be positive.

3. ### Signate67

correction....Vega will be zero

4. ### NHS

Thank you for the input.

Using a future in an option strategy position would be almost like using long/short stock - but to be able to use it on position level I need to be able to find a way to calculate and monitor the Greeks of a future.

I understand the pricing before exp date of the future also is on the marked and makers - but I am looking for any formula

5. ### MTE

When you create a synthetic stock position using options you actually create is a synthetic futures position since option pricing incorporates the cost of carry. So using futures with options doesn't present any problem.

6. ### NHS

Interesting, are you saying that fx:

long call + short put = synthetic long stock = synthetic long future

Meaning that the stock future has the same Greeks as position of the two options?

7. ### MTE

I'm saying that long call+short put=synthetic long future and NOT stock.

8. ### NHS

Thank you for the insight here.

Long call + short put = synthetic long future = stock price * (1 + annualized interest rate â dividends)

I was looking at real prices. I found this for June 2010:

The stock gives 7,5 in dividends before June 2010

Current stock price 380

Stock future June 2010 spread: 370-375

Call 380 june spread 19-21
Put 380 june spread 25-28

The prices does not seem to add up to the formula

Iâm sure missing something here?

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