Derivatives

Option Greeks

This video familiarizes traders with a set of Greek risk factors used to monitor a portfolio's profile. It explains the five key greeks:

  1. Delta: The relative change in an option's price for a given change in the underlying asset.
  2. Gamma: The rate of change of delta for a given change in the underlying asset's price.
  3. Theta: The relationship between time and the price of an option.
  4. Vega: The change in an option's price due to a change in its implied volatility.
  5. Rho: AN option's sensitivity to interest rates.
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