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Understanding Strategy Greeks

Strategy Greeks are the measures of the sensitivity of the option price to various factors, such as the price of the underlying asset, the time to expiration, the volatility of the underlying asset, the interest rate, etc. The most common strategy Greeks are delta, gamma, theta, vega and rho. Here is how they affect the short call strategy:

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Understanding Strategy Greeks

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  1. SAMCODIKHAYE AAPHIKE TAJURBEKA #ANDEKHASACH Takiaapbanebehtartrader

  2. Content Introduction Delta Gamma Theta Vega

  3. Strategy Greeks are the measures of the sensitivity of the option price to various factors, such as the price of the underlying asset, the time to expiration, the volatility of the underlying asset, the interest rate, etc. The most common strategy Greeks are delta, gamma, theta, vega and rho. Here is how they affect the short call strategy: Introduction

  4. Delta measures the change in the option price for a unit change in the price of the underlying asset. For a short-call strategy, the delta is negative, meaning that the option price decreases as the price of the underlying asset increases. As the price of the underlying asset starts to move upwards, the delta will increase your losses exponentially. Delta

  5. Gamma measures the change in the delta for a unit change in the price of the underlying asset. For a short-call strategy, gamma is positive, meaning that the delta becomes more negative as the price of the underlying asset increases. This means that your losses will accelerate as the price of the underlying asset moves further away from the strike price. Gamma

  6. Theta measures the change in the option price for a unit change in the time to expiration. For a short call strategy, theta is positive, meaning that the option price decreases as the time to expiration decreases. This is because the time value of the option erodes as the expiration date approaches. This is the only factor that works in your favour in this strategy. If the price does not move upwards, you will still make profits as the time passes due to the theta decay. Theta

  7. Vega measures the change in the option price for a unit change in the volatility of the underlying asset. Short options, whether calls or puts incur losses when volatility goes up. Vega, a component of options, measures how their prices react to changes in volatility. It shows how sensitive an option's price is to volatility changes in the underlying asset. Vega

  8. ThankYou SamcoSecuritiesLimited-1004 – AWing,10thFloor,NamanMidtown, Senapati BapatMarg,Prabhadevi,Mumbai-400 013. Calluson: 9122227777/ 02245030450 Visitusat: www.Samco.in

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