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