20 years: Equity derivatives trading

In this video, Imran explains the main options Greek in detail. He further explains the concept of gamma trading and how volatility traders delta hedge their options positions to trade volatility agnostic to market direction. He also gives us an overview of how the greek profile of a vanilla option changes as we move through strike price and also as we pass through time.

In this video, Imran explains the main options Greek in detail. He further explains the concept of gamma trading and how volatility traders delta hedge their options positions to trade volatility agnostic to market direction. He also gives us an overview of how the greek profile of a vanilla option changes as we move through strike price and also as we pass through time.

18 mins 33 secs

Overview

The three main options Greeks are Delta, Gamma and Theta.

Key learning objectives:

Identify the different Option Greeks

Understand the concept of Gamma Trading

Understand how volatility traders delta hedge their options positions to trade volatility agnostic to market direction

Summary#### What is the Delta of an option?

#### What is the GAMMA of an option?

#### What is the Theta of an option?

The change in the option value with respect to a change in spot price.

DELTA = Change in option value / Change in stock price

The change in the option delta for a given change in the spot price. It is the change in DELTA for a 1% change in the Spot price.

If an option is worth 20 dollars today, all things being equal, it will be worth slightly less tomorrow. That incremental difference from one day to the next is THETA or TIME DECAY. THETA is the change in price of an option for a 1 day move in time.

Imran has been an equity derivatives trader for over 20 years and has run European equity index options trading desks for Merrill Lynch and Citibank. He also spent time as a macro portfolio manager at Bluecrest Capital. Currently, Imran runs his own training company specialising in teaching people how to trade options. This is: Options Insight - Traders That Teach, www.options-insight.com

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