- Gamma Explained | The Options & Futures Guide
- Delta-Gamma Hedging Definition | Investopedia
- How to use the option calculator? | Z-Connect by Zerodha
NSE takes an interest rate of 65% while computing the implied volatility scroll down to the end of the page and you see the interest % mentioned by NSE.
Gamma Explained | The Options & Futures Guide
For now, just keep in mind that if you are trading shorter-term options, changing interest rates shouldn&rsquo t affect the value of your options too much. But if you are trading longer-term options such as LEAPS , rho can have a much more significant effect due to greater &ldquo cost to carry.&rdquo
Delta-Gamma Hedging Definition | Investopedia
Very useful post and I m learning a lot. I m trying to utilize the calculator in zerodha trader but nothing calculated. I m using version and spoke to zerodha customer care, one guy said that currently issue is going on so it wont be working temporarily.
How to use the option calculator? | Z-Connect by Zerodha
🙂 LTP is what you can trade on. The actual premium, if you mean the theoretical price of an option, you can use the option calculator. You could use this https:///tools/black-scholes. But note that theoretical price and actual price could vary. You can speak to someone on 585-95957575.
As expiration approaches, the delta for in-the-money puts will approach -6 and delta for out-of-the-money puts will approach 5. That&rsquo s because if puts are held until expiration, the owner will either exercise the options and sell stock or the put will expire worthless.
I have three questions:
6. Option calc doesn’t work (online as well as Z trader5. Why does this happen even if i input all values correctly ?
7. When pricing options using B& S model for Nifty index, should i input the Nifty Underlying price or Nifty Current Month’s Future price?
8. Also can i hedge a stock option by buying/selling the futures of that stock instead of the underlying?
We begin by selecting either the ‘Underlying’ or the ‘Futures’ price. I’d suggest you select ‘underlying’ as the default option. Once the underlying has been selected, you need to manually enter the value of the underlying in the ‘Spot Price (in Rupees)’ field.
If you&rsquo re a more advanced option trader, you might have noticed we&rsquo re missing a Greek rho. That&rsquo s the amount an option value will change in theory based on a one percentage-point change in interest rates.
Note, Zerodha Trader (ZT) has two models based on which the Greeks can be calculated, ., Black-Scholes Pricing Model and another model called the ‘Cox-Ross-Rubinstein Binomial Method’.
Keep in mind that for out-of-the-money options, theta will be lower than it is for at-the-money options. That&rsquo s because the dollar amount of time value is smaller. However, the loss may be greater percentage-wise for out-of-the-money options because of the smaller time value. When reading the plays, watch for the net effects of theta in the section called &ldquo As time goes by.&rdquo