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. 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. 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 – 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

    I’m sure missing something here?