Extrinsiq Advanced Options Trading Guides 5 - Option Greeks for Traders : Part I, Delta, Vega & Theta

Understanding the option Greeks is the key to successful option trading and risk management. This Extrinsiq guide offers an in-depth and intuitive guide to the most critical Greeks; delta, vega and theta. In clear, well-written English, each of the Greeks is defined and the market terminology employed by practising traders is explained. The fundamental drivers of each Greek are examined so that the reader can understand why and how options have different values for these key Greeks. Standard methods for calculating the Greeks with their motivations are explained. Different hedging strategies are discussed for each Greek, with the strengths and weaknesses examined. Several other practical trading techniques that make use of delta, vega and theta are also given. A full set of exercises (with solutions) accompanies each chapter and an Appendix includes theoretical Greek values for some given model inputs, allowing further study.