Delta 0.57
Gamma0.166
Theta −0.013
Vega 0.048
Rho 0.023
Kim’s immediate directional exposure is quantified by the delta, which is
0.57. Delta is immediate directional exposure because it’s subject to change
by the amount of the gamma. The positive gamma of this position helps
Kim by increasing the delta as Disney rises and decreasing it as it falls.
Kim, however, has time working against her—theta. At this point, she
theoretically loses $0.013 per day. Since her call is close to being at-the-
money, she would anticipate her theta becoming more negative as
expiration approaches if Disney’s share price remains unchanged. She also
has positive vega exposure. A one-percentage-point increase in implied
volatility (IV) earns Kim just under $0.05. A one-point decrease costs her
about $0.05. With so few days until expiration, the 35-strike call has very
little rho exposure. A full one-percentage-point change in the interest rate
changes her call’s value by only $0.023.