36 lines
858 B
Plaintext
36 lines
858 B
Plaintext
Chapter 40: Advanced Concepts
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FIGURE 40-2.
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Delta comparison, with XYZ = 50.
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100
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75
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~ ai 50
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0
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25
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40
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TABLE 40-2.
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45 50 55
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Strike Price
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60 65
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Delta comparison - varying time remaining with XYZ = 50.
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Delta
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Strike Price t = 1 year t = 6 months
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40 92 97
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45 79 83
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50 61 57
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55 41 30
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60 25 12
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65 14 4
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851
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t = 3 months
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99
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90
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55
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18
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3
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0
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For futures options, the term "shares per option" would be replaced by "shares
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per contract," which is always 1. This is the risk measurement of how much market
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exposure the option position has. Whether called position delta, ESP, or EFP, one
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uses the deltas of the individual options in his portfolio to calculate the overall expo
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sure. By summing the calculations for each item in a position, or even in an entire
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option portfolio, one can approximate how much market exposure the entire option |