34 lines
912 B
Plaintext
34 lines
912 B
Plaintext
850
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FIGURE 40-1.
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Delta comparison, with XYZ = 50.
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100
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75
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$
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<ii 50
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0 ',, .. ..........
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Low-Volatility Stock ,
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Part VI: Measuring and Trading Volatility
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25 ', ', High-Volatility Stock
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', ',, ..............
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---..............
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0 L..L _______ .....L _______ __:::::i~~ ..... -..:L-_
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40 45 50
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TABLE 40-1.
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55
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Strike Price
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60 65
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Delta comparison for different volatilities with XYZ = 50 and
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time = 3 months.
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Delta
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Strike Price Low-Volatility Stock High-Volatility Stock
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40 100 94
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45 93 78
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50 51 53
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55 11 29
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60 1 13
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65 0 5
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referred to as EFP (equivalent futures position). To differentiate between the two
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terms, the delta of the option is generally referred to as "option delta," while the ESP
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or EFP is called "position delta." Recall that the position delta is computed accord
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ing to the following simple equation:
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Position delta = Option's delta x Shares per option x Option quantity |