Options – The Greeks

Short description

Analyse the Greek variables of option positions.

Capacity

You act in the role of an option trader. You can transact various exchange-listed options and their underlying futures contract.
More specifically, you act in the capacity of aggressor.

Task

Your task is to set up the following option strategies and see what Greek values each of those positions have and how these change if the price of the underlying futures contract changes: a long call option, a long put option, a long call spread, a long put spread, an at-the-money straddle, a strangle, an even-money collar.

Objective

The aim of this simulation is to familiarise with the Greeks or to optimise such knowledge if already available. The objective of this simulation is to understand the relationship between the Greeks and to master the impact of a price change of the underlying value.

 Greeks

Analyse reported number in overview to monitor the Greeks of your portfolio:

Delta (Δ)
Gamma (Γ)
Vega (ν)
Theta (Θ)
Rho (Ρ)

Conclusion

At the end of the simulation, analyse your final position and the Greek variables that relate to it. Conclude what the impact will be on the value of your portfolio if each of the following scenarios takes place:

The market price of the underlying future goes down with 2.00 (check Delta position).
The implied volatility moves up 3% point (analyse Vega position).
One day goes by and the market remains unchanged (verify Theta position).
The interest rate moves up by 0.5% point (see Rho position).

 

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Entrima and Market Abuse Centre (MAC) are the two labels we operate to provide learning services for professionals in the commodity & energy markets.
 
 


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Entrima’s mission is to transfer knowledge regarding the business, controls & operations of parties in (or relating to) the wholesale markets.

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MAC’s mission is to facilitate the prevention & detection of misconduct and to foster proper behaviour in organisations. This is achieved via training, periodic updates and increased awareness.

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