First-Pass Greeks Deck
Recall the first-pass meaning of the main option Greeks as sensitivity measures.
Five sensitivities DGTvR What are the first-pass Greeks asking? Flip for sensitivity questions Delta A call has Delta near 0.50. What is the quick interpretation? A $1 move in the underlying is associated with about a $0.50 move in the option premium, all else equal. Delta changes as price, time, and volatility change; it is not fixed. Time versus volatility Theta versus Vega: what pressure are you reading? A position can be hurt by time decay and helped by volatility at the same time. Misread Delta is the exact probability the option will finish in-the-money. A teammate is treating a…
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